Assumption of the black-schools model

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Which of the following is not an assumption of the Black-Schools model?

a) All investors are risk-neutral

b) Stock price is log-normally distributed

c) Volatility of stock price does not change over time

d) Both (a) and (b)

e) Both (a) and (c)

f) Both (b) and (c)

g) All of the above

h) None of the above: all assumptions (a) - (c) are assumptions of the Black-Schools model

Reference no: EM133113884

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