如题

问题如下：

Lee begins: “We use the Black-Scholes-Merton (BSM) model for option valuation. To fully understand the BSM model valuation, one needs to understand the assumptions of the model. These assumptions include normally distributed stock returns, constant volatility of return on the underlying, constant interest rates, and continuous prices”

Lee’s statement about the assumptions of the BSM model is accurate with regard to:

选项：

A.

interest rates but not continuous prices.

B.

continuous prices but not the return distribution.

C.

the stock return distribution but not the volatility.

解释：

Although the BSM model assumes continuous stock prices, it also assumes that stock returns are lognormally distributed (not normally distributed).