Which of the Following Statements Is FALSE

Multiple Choice

Which of the following statements is FALSE?

A) Asian calls are always worth less than the corresponding vanilla calls.
B) Asian puts are always worth less than the corresponding vanilla puts.
C) Arithmetic-average Asian calls are always worth less than the corresponding vanilla calls but geometric-average Asian calls may be worth more.
D) At low volatilities, all Asian options are worth less than the corresponding vanilla options, but at high volatilities they may be worth more.