The Black-Scholes model does not work well to value bond options because of violations of the underlying assumption of a constant variance of returns on the underlying asset.

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The Black-Scholes model assumes a constant variance of returns on the underlying asset, which is often not the case for bond options. This can lead to inaccurate valuations when using the Black-Scholes model for bond options.

The Black-Scholes Model Does Not Work Well to Value Bond