NO.PZ2020033001000057
问题如下：
The BSM (Black-Scholes-Merton) model is inappropriate for valuing options on corporate bonds because:
选项：
A.Corporate bonds have credit risk.
B.Corporate bonds have an upper price bound.
C.Corporate bonds have constant price volatility.
D.Corporate bonds are not priced via arbitrage approaches.
解释：
B is correct.
考点： BSM Model Assumptions
解析：
The BSM model has the following assumptions:
1) No upper price bound
2) Constant risk-free rate
3) Constant volatility
这道题选的是公司债有价格上限，那是不是可以理解为有价格上限，价格就不连续了，所以不能用BSM去定价看
