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Mathematics, 20.08.2021 04:10 ddavid9361

When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true? A. The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased
B. The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased
C. Either A or B can be true
D. The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased

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