NO.PZ2020033001000057
问题如下:
The BSM (Black-Scholes-Merton) model is inappropriate for valuing options on corporate bonds because:
选项:
A.Corporate bonds have credit risk.
B.Corporate bonds have an upper price bound.
C.Corporate bonds have constant price volatility.
D.Corporate bonds are not priced via arbitrage approaches.
解释:
B is correct.
考点: BSM Model Assumptions
解析:
The BSM model has the following assumptions:
1) No upper price bound
2) Constant risk-free rate
3) Constant volatility
Corporate bonds have an upper price bound.这句话怎么理解呢