Which one of the following cannot be either used by or calculated by the Black-Scholes option pricing model?
A) Risk-free rate of return
B) Premium on an American call option
C) Time to maturity greater than one year
D) Underlying asset value
E) An exercise price equal to the face value of a firm's debt

Question

Quizplus · Accepted Answer

The Black-Scholes option pricing model can only be used to calculate the price of European call and put options, not American options.

Which One of the Following Cannot Be Either Used by or Calculated