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Confusing Black-Scholes formula

S

SYABC

Member
Hi

Can someone explain to me the different Black-Scholes formula on p3 and p23 in Chapter 12?

p3 - European call option
A: c = P(0,T)[F0*N(d1) - X*N(d2)]

p23 - value of equity as a call option on value of assets with strike price as amount of debt, D.
B: E0=V0*N(d1) - D*e^(-rT)*N(d2)

My questions are:
1. Why is the term P(0,T) not in B?
2. The formula of d1 are different for A and B. The d1 formula for B has an extra 'r'. Why is that?


Thank you very much.
 
Black scholes

Hi, These formulae are different in a number of ways but tackle the same problem. The main diference is that on uses a futures price as the underlying and the other uses a spot price. Because of this various discount factor (like P(0,t) ) disappear.
 
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