Which of the statements below is false?

A) Four of the five input variables of the Black-Scholes option valuation formula represent observable variables that can be measured.

B) N(d) is the cumulative normal distribution - that is, the probability that a normally distributed variable is greater than d.

C) The Black-Scholes option valuation model can be derived from the binomial option valuation model assuming that the length of each period and the movement of the stock price converges to 0 and that the number of periods increases to infinity.

D) The derivation of the Black-Scholes formula is based on the assumption that the call option is a European option.

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