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Marengo – Delta hedge (a)

This topic has 1 reply, 2 voices, and was last updated 3 years ago by John Moffat.

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April 30, 2022 at 1:38 am #654625
sarah762
Member
- Topics: 67
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I used excel formula to calculate N(-d1) which equals to 0.48, but the answer shown is 0.5298.
[ =NORMSDIST(-0.06) ] —> formula I used.
Did I calculate wrongly?
April 30, 2022 at 10:55 am #654651
John Moffat
Keymaster
- Topics: 57
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d1 = – 0.055
Therefore -d1 = +0.055.
From the tables (which is quicker that using an excel formula), N(+0.055) is half way between 0.0239 and 0.0199, and you then need to add 0.5 as I explain in my lectures.
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