Question 4 The Black and Scholes model assumes that returns on the underlying asset are independent and identically distributed (i.i.d.) over time. Which of the following statements is NOT consistent with the i.i.d. assumption? a) At the end of each month, the expected return for the following month is the same over time b) The return observed over a given week can predict the return over the following week c) The standard deviation (i.e, the volatility) of underlying asset returns is the same month by month d) The expected discretely compounded return over two days is twice as large as the expected return over one day