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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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