Which of the following variables are part of the Black-Scholes option pricing model?
I. the market price of the underlying stock
II. the volatility of the underlying security
III. the strike price of the option
IV. the risk-free rate of interest
V. the beta of the underlying security
VI. the time remaining before the option expires
A) I, II, IV and VI only
B) I, II and III only
C) I, II, III, IV and VI only
D) I, II, III, IV, V and VI

Question

Quizplus · Accepted Answer

The Black-Scholes option pricing model includes the market price of the underlying stock, the volatility of the underlying security, the strike price of the option, the risk-free rate of interest, and the time remaining before the option expires. It does not include the beta of the underlying security.

Which of the Following Variables Are Part of the Black-Scholes