Which of the following is not a variable required to determine an option's value in the Black-Scholes valuation model?
A) future security price
B) exercise price
C) time to expiration
D) risk-free rate
E) security price volatility

Question

Quizplus · Accepted Answer

The Black-Scholes model requires the exercise price, time to expiration, risk-free rate, and security price volatility to determine an option's value, but not the future security price, as it aims to calculate the present value of the expected future payoff.

Which of the Following Is Not a Variable Required to Determine