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Basic Question 3 of 12
The expectation implied in the BSM model is based on the ______ probability measure.
B. risk-neutral
C. risk-seeking
A. risk-averse
B. risk-neutral
C. risk-seeking
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
identify assumptions of the Black-Scholes-Merton option valuation model;
interpret the components of the Black-Scholes-Merton model as applied to call options in terms of a leveraged position in the underlying;
describe how the Black-Scholes-Merton model is used to value European options on equities and currencies;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.