Which of the following is an assumption of the Black Scholes option pricing model (A) Stock prices are normally distributed (B) Stock price volatility is a constant (C) Changes in stock price are lognormally distributed (D) All transaction costs are included in stock returns (E) The risk free inter...

B Only B is correct For A and C the correct statement ...

Which of the following is an assumption of the Black-Scholes option pricing model? (A) Stock prices are

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Which of the following is an assumption of the Black-Scholes option pricing model?

(A) Stock prices are normally distributed.

(B) Stock price volatility is a constant.

(D) All transaction costs are included in stock returns.

(E) The risk-free interest rate is a random variable.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:18 AM

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Which of the following is an assumption of the Black-Scholes option pricing model? (A) Stock prices are

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Derivative Pricing

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