When Black's Model Used to Value a European Option on the Spot

question 20

Multiple Choice

When Black's model used to value a European option on the spot price of an asset,which of the following is NOT true?

• A) It is necessary to know the futures or forward price for a contract maturing at the same time as the option
• B) It is not necessary to estimate income on the underlying asset
• C) It is not necessary to know the risk-free rate
• D) The underlying asset can be an investment or a consumption asset