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True or False. (6) Because Black Scholes model relies on several assumptions that are not true in the data, options with different strikes and the
True or False.
(6) Because Black Scholes model relies on several assumptions that are not true in the data, options with different strikes and the same expirations often have different implied volatilities. Solution: (c) The fact that VIX futures (which payoff when VIX is high) have historically had negative average returns is consistent with the fact that VIX tends to rise when the the S&P 500 falls. SolutionStep by Step Solution
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