Sep 2007 Q.5

Discussion in 'CT8' started by scr123, Mar 31, 2013.

  1. scr123

    scr123 Keen member

    I cannot get the correct value for the equity shown in the solutions (15.07631)

    Could someone please provide the working?
     
    scr123, Mar 31, 2013
    #1
  2. Graham Aylott

    Graham Aylott Member

    Hi,

    The equity price is found using the Black-Scholes formula. See the attachment for the working, which is taken from an old version of the CT8 ASET.

    Hope this makes things clear. :eek:
     

    Attached Files:

    Graham Aylott, Apr 1, 2013
    #2

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