Which of the Following Statements About Option Pricing in a Multiperiod

Multiple Choice

Which of the following statements about option pricing in a multiperiod framework using synthetic construction is INCORRECT?

A) The two assets,a stock and a money market account,dynamically complete the market by matching all possible option values at maturity.
B) The replicating portfolio is self-financing.
C) The replicating portfolio is arbitrage-free.
D) Option prices obtained for different period setups are different.
E) The pricing model estimates real-world probabilities and uses them for the expected payoff computations.