Which of the following are NOT true
A) Risk-neutral valuation and no-arbitrage arguments give the same option prices
B) Risk-neutral valuation involves assuming that the expected return is the risk-free rate and then discounting expected payoffs at the risk-free rate
C) A hedge set up to value an option does not need to be changed
D) All of the above

Question

Quizplus · Accepted Answer

The hedge set up to value an option needs to be changed as time passes.A and B are true.

Which of the Following Are NOT True