题目
Each of the following is an underlying assumption of the basic Black-Scholes option pricing model EXCEPT:
选项
A.The stock price follows a geometric Brownian motion (GBM) which is a continuous process without jumps
B.The continuously compounded rate of return on the stock is normally distributed, such that the distribution of the future stock price is lognormal
C.The expected rate of return on the stock (u) and volatility (sigma) are constant
D.The expected real-world (risky) rate of return on the stock is known and the value of the option is an increasing function of this rate of return
答案
D
解析
While the drift rate (%) is assumed constant, per the risk-neutral valuation, we let drift rate equal the riskless rate. The real-world rate of return is not required, is not an input in the Black-Scholes, and as Hull explains, is not an increasing function of the option (as a higher implied discount rate offsets the higher expected growth rate).In regard to (A), (B) and (C), EACH is TRUE as a key assumption underlying the Black-Scholes OPM.而漂移率(%)假定常数,根据风险中性估值,我们让漂移率等于无风险利率。现实世界的收益率不是必需的，不是Black-Scholes模型的一个输入，也不是期权的一个递增函数(因为更高的隐含贴现率抵消了更高的预期增长率)。选项A，B，C都是正确的。