Which of the following statements about the Black-Scholes-Merton model is not true?

Which of the following statements about the Black-Scholes-Merton model is not true?



a. decreasing the volatility lowers the call price
b. the expected stock price plays a role in the model
c. the risk-free rate is continuously compounded
d. the model is consistent with put-call parity
e. none of the above





Answer: B


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