Which of the Following Statements About the Black-Scholes-Merton Model Is

question 7

Multiple Choice

Which of the following statements about the Black-Scholes-Merton model is not true?

• A)decreasing the volatility lowers the call price
• B)the expected stock price plays a role in the model
• C)the risk-free rate is continuously compounded
• D)the model is consistent with put-call parity
• E)none of the above

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