TY  - JOUR
TI  - Volatility Sensitivity of Deep In-The-Money European Call Options: A Black-Scholes and Non-Central F Analysis
AU  - Innocent Uchenna Amadi
AU  - Dagogo Allen Wokoma
PY  - 2026
JO  - Ktrend - International Journal of Mathematics and Statistics (IJMS)
VL  - 1
IS  - 1
SP  - 1-10
DO  - 10.5281/zenodo.21223610
UR  - https://doi.org/10.5281/zenodo.21223610
AB  - <p>This study investigates the sensitivity of European call option prices to volatility under the Black-Scholes framework for deep in-the-money contracts. Using the stock quantity parameter values to compute, the results show a monotonic and convex increase in call value with volatility, with total increases of $2.33 and $1.84 for S? = 60 and S? = 70, respectively. A Fisher non-central F analysis confirms that volatility explains a statistically significant proportion of price variation, with a strong effect size after controlling for the level of the initial stock price. The findings underscore the critical role of vega for deep in-the-money options and the importance of accurate volatility estimation in high-rate environments.</p>
ER  -