All Else Equal, If the Volatility (Variance)of the Underlying Stock

Multiple Choice

All else equal, if the volatility (variance) of the underlying stock increases, then the

A) value of a put option increases and that of a call option decreases.
B) value of a put option decreases and that of a call option increases.
C) value of both a put option and a call option increase.
D) value of both a put option and a call option decrease.