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BSOP (Black scholes model)

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › BSOP (Black scholes model)

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  • September 11, 2012 at 9:16 am #54465
    sula1988
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    In bpp p4 text when using BSOP (Black scholes model) in default probability and loss has stated r= ln (1+ 0.05) = 0.0488 (risk free rate given =0.05) can some one explain why.? in options chapter they have just used risk free rate straight forward. what is the correct method

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