Volatility is zero in the black-scholes-merton model

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Reference no: EM131620998

What happens when the volatility is zero in the Black-Scholes-Merton model?

none of the above

the option price converges to either zero or the lower bound

the option automatically expires out of the money

the option price converges to the intrinsic value

the gamma and delta converg

Reference no: EM131620998

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