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An arbitrageur dynamically manages a portfolio of options on a single stock. Using the Black–Scholes–Merton model, when the dividend yield on the stock increases, the arbitrageur should:
A
lower the number of stocks to buy for calls and lower the number of stocks to short sell for puts.
B
lower the number of stocks to buy for calls and raise the number of stocks to short sell for puts.
C
lower the number of stocks to short sell for puts and raise the number of stocks to buy for calls.
