The standard Black-Scholes option pricing model assumes:
A)European call options.
B)continuous compounding.
C)non continuous volatility of the underlying stock price
D)all of the above.
E)a and b

Question

Quizplus · Accepted Answer

The Black-Scholes option pricing model assumes European call options and continuous compounding. It assumes the underlying stock price follows a lognormal distribution with continuous volatility. Therefore, the correct choices are A and B, so the answer is E.

The Standard Black-Scholes Option Pricing Model Assumes