Question
Empirical evidence so far indicates that one limitation of the Black-Scholes model is that the model tends to _________ under-estimate the value of at-the-money put
Empirical evidence so far indicates that one limitation of the Black-Scholes model is that the model tends to _________
under-estimate the value of at-the-money put index options
over-estimate the value of out-of-the-money put index options
under-estimate the value of out-of-the-money put index options
over-estimate the value of at-the-money put index options
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Investments
Authors: Zvi Bodie, Alan J. Marcus, Alex Kane
6th Edition
0072861789, 9780072861785
