In the Black-Scholes Option Pricing Model, an Increase in Security $\sigma$

Multiple Choice

In the Black-Scholes option pricing model, an increase in security volatility ( $\sigma$ ) will cause

A) An increase in call value and an increase in put value
B) An increase in call value and a decrease in put value
C) A decrease in call value and an increase in put value
D) A decrease in call value and a decrease in put value
E) An increase in call value and an increase or decrease in put value