The Black and Scholes option pricing model makes an assumption that stock prices are normally distributed with a constant mean returns over the period of the option.

Name: The Black and Scholes option pricing model makes an assumption that stock prices are normally distributed with a constant mean returns over the period of the option.
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The Black-Scholes model assumes that stock prices follow a lognormal distribution, not a normal distribution, and that the returns are normally distributed.

The Black and Scholes Option Pricing Model Makes an Assumption