Question: Which is NOT true in a risk-neutral world? The expected return on a stock is just the risk-free rate The expected return on a call

Which is NOT true in a risk-neutral world?

The expected return on a stock is just the risk-free rate

The expected return on a call option is independent of its strike price

The discount rate used for the expected payoff on an option is the risk-free rate

The expected return on a stock is the risk-free rate plus alpha

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