题目
Each of the following is an underlying assumption of the Black-Scholes option pricing model EXCEPT:
选项
A.There are no transactions costs or taxes. All securities are perfectly divisible.
B.There are no riskless arbitrage opportunities.
C.Short selling is NOT permitted
D.Security trading is continuous.
答案
C
解析
The stock price follows the process developed in GBM with drift rate (% not $) and variance/volatility constant. The short selling of securities with full use of proceeds is permitted. There are no transactions costs or taxes. All securities are perfectly divisible. There are no dividends during the life of the derivative. There are no riskless arbitrage opportunities. Security trading is continuous. The risk-free rate of interest, r, is constant and the same for all maturities. 允许对收益充分利用的证券进行卖空。没有交易成本或税收。所有的证券都是完全可分的。在衍生品的生命周期内没有股息。不存在无风险的套利机会。证券交易是连续的。无风险利率r是常数，对所有期限都是一样的。