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Level II
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Derivatives
Derivatives
Medium
In practice, the Black-Scholes-Merton model assumption most commonly violated is that:
A
Volatility of the underlying asset is constant over the life of the option.
B
The risk-free rate is known and constant.
C
The underlying asset pays no dividends.
D
Markets are free of arbitrage opportunities.
Select an answer to continue
Tags
#black-scholes
#bsm-assumptions
#volatility-smile
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