Which of the following statements is FALSE?

a.

A catastrophe bond on Earthquakes can be priced by discounting the real world expected payoff at the risk-free rate.

b.

Electricity prices exhibit jumps because electricity cannot be easily stored and demand can increase sharply in excess of daily production.

c.

Uncertainty about HDD grows at the square root of time.

d.

A mean-reverting asset process is a stochastic process with a time-varying drift.