Which statement is false? The BSM model underestimates prices of OTM options since it does not account for the possibility of jumps. Implied volatilities capture market expectations about the future volatility of the underlying stock over the life of the option. A protective put strategy is constructed using a long position in the stock and a short position in a European put option. As the name suggests, in principle protected notes, the principal investment is not at risk. Hence, these notes are interesting for conservative investors. Which statement is false? The BSM model underestimates prices of OTM options since it does not account for the possibility of jumps. Implied volatilities capture market expectations about the future volatility of the underlying stock over the life of the option. A protective put strategy is constructed using a long position in the stock and a short position in a European put option. As the name suggests, in principle protected notes, the principal investment is not at risk. Hence, these notes are interesting for conservative investors