Which one is not a determinant of the value of a call option in the Black-Scholes model?
A) Volatility of the continuously compounded rate of return on the underlying stock
B) Exercise price of the option
C) Price of the underlying stock
D) The expected dividends on the underlying stock

Question

Quizplus · Accepted Answer

The Black-Scholes model does not directly take into account the expected dividends on the underlying stock. It assumes the option is on a non-dividend-paying stock, so dividends are not a determinant in the model's original formulation.

Which One Is Not a Determinant of the Value of a Call