The Black-Scholes model assumes constant volatility. How serious a shortcoming is this?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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The Black-Scholes model assumes constant volatility. How serious a shortcoming is this?

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The assumption of constant volatility is indeed a significant shortcoming of the BlackScholes model Lets break it down into a few key points 1 Volatil...View the full answer

Derivatives Principles And Practice

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