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Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › Sydonics Engineering
Dear Tutor
Kindly advise whether the Grabbe (1983) variant of the black and scholes option pricing model examinable ?
I saw that in the pilot paper relevant upto december 2012, Question 2 . The question type is different from the other foreign exchange risk question and Blk & scholes option pricing questions we’ve had before.
No – the Grabbe variant is not examinable (and the formulae for it no longer appear on the formula sheet).
