Rubinstein (1994)observed that the performance of the Black-Scholes model had deteriorated in recent years,and he attributed this to
A)investor fears of another market crash.
B)higher than normal dividend payouts.
C)early exercise of American call options.
D)decreases in transaction costs.
E)none of the above.

Question

Quizplus · Accepted Answer

Rubinstein (1994) attributed the deterioration in the performance of the Black-Scholes model to investor fears of another market crash, which affected market volatility and option pricing.

Rubinstein (1994)observed That the Performance of the Black-Scholes Model Had