Which of the Following Statements Is False

Which of the following statements is false?

A) Because an American option cannot be worth less than its intrinsic value, it cannot have a negative time value.
B) An American option with a later exercise date cannot be worth less than an otherwise identical American option with an earlier exercise date.
C) The value of an option generally decreases with the volatility of the stock.
D) The intrinsic value is the amount by which the option is currently in-the-money or 0 if the option is out-of-the-money.

Correct Answer:

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