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Black-Scholes

Forums › ACCA Forums › ACCA AFM Advanced Financial Management Forums › Black-Scholes

  • This topic has 7 replies, 3 voices, and was last updated 12 years ago by keven.
Viewing 8 posts - 1 through 8 (of 8 total)
  • Author
    Posts
  • April 6, 2013 at 8:34 pm #121664
    keven
    Participant
    • Topics: 6
    • Replies: 12
    • ☆

    Hi, how exactly do you compute In(Pa/Pe).. for example what would be the result in In(2.9/2.6)

    April 7, 2013 at 2:21 pm #121732
    accaforall
    Member
    • Topics: 5
    • Replies: 17
    • ☆

    I just use calculator and round up the result at two decimal

    April 7, 2013 at 4:27 pm #121844
    ray3026
    Member
    • Topics: 5
    • Replies: 29
    • ☆

    the result will be 0.1092.

    firstly you divide 2.9 by 2.6 and press log in your scientific calculator.

    Make sure your d1 and d2 should be round up to 2 decimal place and use normal distribution to find N(d1) and N(d2) and round these figures to 4 decimal place.

    hope it helps.

    April 11, 2013 at 11:12 am #122172
    keven
    Participant
    • Topics: 6
    • Replies: 12
    • ☆

    Thanks alot Ray and the other person. Lemmie try it out. Please attempt P4 open tuition Chapter 13 example 3 then send me your answers.

    April 11, 2013 at 6:52 pm #122194
    ray3026
    Member
    • Topics: 5
    • Replies: 29
    • ☆

    My answer for call option is 52.8 cent as well as put option is 15.3 cent.

    April 19, 2013 at 10:35 pm #122940
    keven
    Participant
    • Topics: 6
    • Replies: 12
    • ☆

    2.9/2.6= 1.1153846
    logn 1.1153846= 0.04742

    how are you getting 0.1092 ?
    Exactly which buttons are you pressing ?

    When you say ” firstly you divide 2.9 by 2.6 and press log ” I assumed you mean we find the log of 1.1154

    April 22, 2013 at 4:02 pm #123275
    ray3026
    Member
    • Topics: 5
    • Replies: 29
    • ☆

    when you get 1.1153846, press ln and you will get 0.1092

    remember BSOP model for d1 is ln(Pa/Pe …….

    April 24, 2013 at 9:56 am #123395
    keven
    Participant
    • Topics: 6
    • Replies: 12
    • ☆

    @brainstorm22 said:
    Thanks alot Ray and accaforall. Lemmie try it out. Please attempt P4 open tuition Chapter 13 example 3 then send me your answers.

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