Please can someone help with the following:

- Which of the following is not an assumption underlying the Black-Scholes-Merton options

pricing model?

A. The underlying asset does not generate cash flows.

B. The price of the underlying is lognormally distributed.

C. The option can only be exercised at maturity.

The answer says in Schweser is B reasoning that its asset returns follow a lognormal distribution.

But while studying the chapter from Schweser, it says :

The underlying asset price follows a geometric Brownian motion process. Therefore, **the asset price has a lognormal distribution**. In other words, the continuously compounded return is normally distributed. Under this framework, change in asset price is continuous: there are no abrupt jumps.

Can someone please clear this confusion. Thanks a lot!