Assignment:
Suppose that a stock price is currently $20 and that a call option with an exercise price of $25 is created synthetically using a continually changing position in the stock. Consider the following two scenarios:
a. Stock price increase steadily from $20 to $35 during the life of the option
b. Stock price oscillates wildly, ending up at $35
Which scenario would make the synthetically created option more expensive? Explain your answer.