NO.PZ2020033001000041
问题如下：
Which of the following statements best illustrates the main limitations of the BSM option pricing model?
选项：
A.For up-and-out calls and puts, when the knock-out strike price is equal to the strike price and the interest rate is equal to the return on the underlying asset, the BSM model is insensitive to changes in implied volatility.
B.The volatility smile indicates that the implied volatility of in-the-money call and put options is relatively low.
C.For down-and-out calls and puts, when the knock-out strike price is smaller than the strike price and the interest rate is higher than the return on the underlying asset, the BSM model is not sensitive to changes in option maturity.
D.The BSM model assumes that volatility changes as the market changes
解释：
A is correct.
考点：BSM模型的缺点
解析：作为结论了解即可：因为BSM假设的是constant volatility，但是实际中，在knock out价等于行权价，以及underlying收益率等于利率时，期权价格对隐含波动率会很敏感。因此BSM的假设隐含波动率变化不敏感就是模型的缺陷。
像这类期权和波动率关系的题，一般压力怎么判断呢，特别是涉及out/in-the-money的call/put对于波动率的影响，还有BSM模型和隐含波动率的关系
