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black scholes pricing

  1. G

    Approximating Probabilities of Standard Normal Distribution

    While going through Chapter 15 "The Black-Scholes option pricing Formula", I was confused as to how to approximate for taking probabilities of Standard Normal Distribution. For example Can we approximate ɸ(0.974) to ɸ(0.97) and take the value as 0.83398 ? Or do we have to find the value of...
    • George Philip
    • Thread
    • approximation black scholes pricing normality distribution
    • Replies: 1
    • Forum: CM2
  2. G

    Chapter 15 Practice Question 15.1

    A building society issues a one-year bond that entitles the holder to the return on a weighted-average share index (ABC500) up to a maximum level of 30% growth over the year. The bond has a guaranteed minimum level of return so that investors will receive at least x% of their initial investment...
    • George Philip
    • Thread
    • black scholes pricing option pricing
    • Replies: 1
    • Forum: CM2
  3. S

    Ch15 Q15.2 - Φ(d1) and Φ(d2)

    Hello there, Is it fair to expect the interpretation of Φ(d1) and Φ(d2) on this level of the study material? Searching at Wikipedia I have found some helpful material: https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model#Black%E2%80%93Scholes_formula section "Interpretation". I was able...
    • Sandor Kelemen
    • Thread
    • black scholes pricing chapter 15 garman-kohlhagen formulae interpretation
    • Replies: 1
    • Forum: CM2
  4. V

    Minor question Black Scholes pricing

    Can someone clear up what log base we should he using in the Black Scholes formula? E.g. I could not reconcile my results with Question 15.5 in the Act Ed notes (and tables in fact) because I was using Log (base 10). The results clearly use In i.e. log base e.
    • VSA_88
    • Thread
    • black scholes pricing options
    • Replies: 2
    • Forum: CM2
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