The __________ is NOT a determinant of the value of a call option in the Black-Scholes model?
A)interest rate
B)exercise price of the stock
C)price of the underlying stock
D)expected beta of the underlying stock

Question

Quizplus · Accepted Answer

The expected beta of the underlying stock is not included in the Black-Scholes model and therefore cannot be a determinant of the value of a call option in this model. The other factors listed (interest rate, exercise price of the stock, and price of the underlying stock) are all inputs that are used in the calculation of the option price in the Black-Scholes model.

The __________ Is NOT a Determinant of the Value of a Call