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Marengo – Delta hedge (a)

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › Marengo – Delta hedge (a)

  • This topic has 1 reply, 2 voices, and was last updated 3 months ago by John Moffat.
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  • April 30, 2022 at 1:38 am #654625
    sarah762
    • Topics: 67
    • Replies: 127
    • ☆☆

    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
    • Replies: 49993
    • ☆☆☆☆☆

    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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