When Black's model used to value a European option on the spot price of an asset, which of the following is NOT true?
A. It is necessary to know the futures or forward price for a contract maturing at the same time as the option
B. It is not necessary to estimate income on the underlying asset
C. It is not necessary to know the risk-free rate
D. The underlying asset can be an investment or a consumption asset
C
The futures price embodies all the relevant information needed about the spot price and the income on the asset. However, it is still necessary to know the risk-free rate.
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