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Which of the following is an assumptions of the Black-Scholes-Merton (BSM) option-pricing model? A. The distribution of the underlying stock price is normal. B. Transaction

Which of the following is an assumptions of the Black-Scholes-Merton (BSM) option-pricing model?

A.

The distribution of the underlying stock price is normal.

B.

Transaction costs are zero.

C.

Options valued are American style.

D.

the risk free rate is positively correlated with the underlying stock price.

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