23-75 Identify a problem associated with using the Black-Scholes model to value bond options.
A) It assumes short-term interest rates are constant.
B) It assumes that commissions are charged.
C) It assumes fluctuating variance of returns on the underlying asset.
D) It assumes that the variance of bond prices is nonconstant over time.
E) All of the above.
Correct Answer:
Verified
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