Question: When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true? Group of

When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true?

Group of answer choices

The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased

The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

Either A or B can be true

The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

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