Is assuming a constant (nonstochastic) interest rate in the Black-Scholes model a major deficiency of the model?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Is assuming a constant (nonstochastic) interest rate in the Black-Scholes model a major deficiency of the model?

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It depends If the maturity of the option is short then assuming interest rates are constant is a re...View the full answer

Derivatives Principles And Practice

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