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(b) The Black-Scholes-Merton option prices are seldom valid since the securities returns do not always distribute log-normally, and that the return volatility is never static

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(b) The Black-Scholes-Merton option prices are seldom valid since the securities returns do not always distribute log-normally, and that the return volatility is never static in reality. Therefore, no opportunity that is based on the BSM prices exists. Even if they do, they are not justifiable. Do you agree with the statement above? Justify your answer. (10 marks)

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