Question
Which of the following statements about the Black-Scholes-Merton model is NOT TRUE? It assumes that the stock price follows a log-normal distribution. It assumes that
Which of the following statements about the Black-Scholes-Merton model is NOT TRUE?
| It assumes that the stock price follows a log-normal distribution. |
| It assumes that the stock volatility does not change throughout the options life. |
| The model is consistent with put-call-parity. |
| It assumes that there are transaction costs. |
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Focus On Personal Finance
Authors: Jack R. Kapoor, Les R. Dlabay Professor, Robert J. Hughes, Melissa Hart
5th Edition
0077861744, 978-0077861742
