Question
The Black-Scholes-Merton model assumes that (a) the underlying price at a future time distributes normally, (b) the underlying price at a future time distributes lognormally,
The Black-Scholes-Merton model assumes that (a) the underlying price at a future time distributes normally, (b) the underlying price at a future time distributes lognormally, and (c) the return from the stock distributes lognormally.
(a)
(b)
(c)
None are assumptions
All are assumptions
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
