Black-Scholes-Merton call and put option pricing formula: C = S,N(d,) - Xe"cTN(d_) P = {x (e*T) [-N(d;)]} - S. [-N(d,)] In + r. + T 2 'p oVT d, = d, - (ovT)
Black-Scholes-Merton call and put option pricing formula: C = S,N(d,) - Xe"cTN(d_) P = {x (e*T) [-N(d;)]} - S. [-N(d,)] In + r. + T 2 'p oVT d, = d, - (ovT)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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2-2 What are the variaables in the BSM call option valuation model below and how do they affect call option pricing?
![Black-Scholes-Merton call and put option pricing formula:
C = S,N(d,) - Xe"c™N(d2)
P = {x (e*c") [-N(d,)]} - So [-N(d.)]
In
+ r. +
2
OVT
d, = d, - (ovT)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fe675c2bd-02ad-46a1-8731-6bbe32fa9c0f%2F83be96f3-a770-4929-bee0-80ee6695e6eb%2Fv1y3ouo_processed.png&w=3840&q=75)
Transcribed Image Text:Black-Scholes-Merton call and put option pricing formula:
C = S,N(d,) - Xe"c™N(d2)
P = {x (e*c") [-N(d,)]} - So [-N(d.)]
In
+ r. +
2
OVT
d, = d, - (ovT)
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