关于衍生品没分红的疑问

问题如下：

There are several statements, which of the following is not an assumption that to derive the Black-Scholes-Merton:

I.   There are no transaction costs or taxes.
II.  The stock return follows a lognormal distribution.
III. There are no dividends during the life of the derivative.
IV. The risk-free rate of interest is constant and the same for all maturities.

选项：

A.

I.

B.

II

C.

III

D.

IV

解释：

B is correct.

考点：BSM Model

解析：这里是stock price 服从对数正态分布，而不是stock return。

The assumptions we use to derive the Black-Scholes-Merton model are as follows:

$(1)$The stock price follows a lognormal distribution with μ and σ constant.

(2)The short selling of securities with full use of proceeds is permitted.

(3)There are no transaction costs or taxes.All securities are perfectly divisible.

(4)There are no dividends during the life of the derivative.

(5)There are no riskless arbitrage opportunities.

(6)Security trading is continuous.

(7)The risk-free rate of interest,r,is constant and the same for all maturities.