题目
Which of the following is not an assumption of the Black-Scholes options pricing model?
选项
A.The price of the underlying moves in a continuous fashion.
B.The interest rate changes randomly over time.
C.The instantaneous variance of the return of the underlying is constant.
D.Markets are perfect, i.e. short sales are allowed, there are no transaction costs or taxes, and markets operate continuously.
答案
B
解析
The BSM model assumes:The price of the underlying asset moves in a continuous fashion.Interest rates are known and constant.Variance of returns is constant.Perfect liquidity and transaction capabilities.BSM模型假定：标的资产的价格以连续的方式变动。利率是已知且恒定的。收益差异是恒定的。完美的流动性和交易能力