Financial Risk Manager Part 1

Ultimate access to all questions.

Which of the following is not an assumption of the Black-Scholes options pricing model?

Exam-Like

The price of the underlying moves in a continuous fashion.

The interest rate changes randomly over time.

The instantaneous variance of the return of the underlying is constant.

Loading comments...

Markets are perfect, i.e., short sales are allowed, there are no transaction costs or taxes, and markets operate continuously.