3.5 In the Black-Scholes option pricing model, value of an option decreases, all else equal, as it nears expiration. (True / False) 3.6 The Black-Scholes option pricing model assumes which of the following? a. Jumps in the underlying price b. Constant volatility of the underlying c. Possibility of negative underlying price d. Interest rate increasing as option nears expiration 3.7 Which Greek shows how sensitive option delta is to the price of the underlying asset? a. Vega b. Gamma c. Elasticity d. Implied Volatility