Consider a Black-Scholes Setting

Multiple Choice

Consider a Black-Scholes setting. When a call option is deep in-the-money, an increase in volatility results in, ceteris paribus,

A) A decrease in the delta of the option.
B) A decrease in the insurance value of the option.
C) An increase in the intrinsic value of the option.
D) An increase in the time value of the option.