Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Question

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)
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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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