问题如下：
Kirk Rozenboom, FRM, uses the Black-Scholes-Merton (BSM) model to value options. Following the financial crisis of 2007-2009, he is more aware of the limitations of the BSM option pricing model. Which of the following statements best characterizes a major limitation of the BSM option pricing model?
选项：
A.The BSM model assumes strike prices have nonconstant volatility.
B.Option traders often use a volatility smile with lower volatilities for out-of-the- money call and put options when applying the BSM model.
C.For up-and-out calls and puts, the BSM model is insensitive to changes in implied volatility when the knock-out strike price is equal to the strike price and the interest rate equals the underlying asset return.
D.For down-and-out calls and puts, the BSM model is insensitive to changes in option maturity when the knock-out strike price is greater than the strike price and the interest rate is greater than the underlying asset return.
解释：
C is correct. For up-and-out calls and puts and for down-and-out calls and puts, the BSM option pricing model is insensitive to changes in implied volatility when the knock-out strike price is equal to the strike price and the interest rate equals the underlying asset return. The BSM model assumes strike prices have a constant volatility, and option traders often use a volatility smile with higher volatilities for out-of-the-money call and put options.
我对问题还是没明白，这题问的是BSM模型的局限性，而volatility smile曲线关于foreign currency option和equity option在OTM call的曲线方向是不一样的，又怎能混为一谈表述为BSM使用的波动率过高或过低呢？
