Black-Scholes Pricing Model

Question 1

What is the general formula for the price of a Call Option under the Black-Scholes pricing model?

Answer 1

C = F^P(S)*N(d₁) - F^P(K)*N(d₂)

Question 2

What is the general formula for the price of a Put Option under the Black-Scholes pricing model?

Answer 2

P = F^P(K)*N(-d₂) - F^P(S)*N(-d₁)

Question 3

What is the general formula for d₁?

Answer 3

Question 4

What is the general formula for d₂?

Answer 4

Question 5

B-S for Stock

d₂ = ?

Answer 5

Question 6

B-S for Stock

d₁ = ?

Answer 6

Question 7

B-S for Stock

P = ?

Answer 7

P = Ke^-r(T-t)•N(-d₂) - S_te^-δ(T-t)•N(-d₁)

Question 8

B-S for Stock

C = ?

Answer 8

C = S_te^-δ(T-t)•N(d₁) - Ke^-r(T-t)•N(d₂)

Question 9

What substitutions do you need to make for options on currency?

Answer 9

1. S₀ → x₀
2. r → r_d
3. δ → r_f

Question 10

B-S for Currency

C = ?

Answer 10

Question 11

B-S for Currency

d₂ = ?

Answer 11

Question 12

B-S for Currency

d₁ = ?

Answer 12

Question 13

B-S for Currency

P = ?

Answer 13

Question 14

B-S for Futures

F_t,TF = ?

Answer 14

F_t,TF = S_te^(r-δ)(TF-t)

Question 15

B-S for Futures

C = ?

Answer 15

C = F_0,TFe^-rTO•N(d₁) - Ke^-rTO•N(d₂)

Question 16

B-S for Futures

P = ?

Answer 16

P = Ke^-rTO•N(-d₂) - F_0,TFe^-rTO•N(-d₁)

Question 17

B-S for Futures

d₂ = ?

Answer 17

Question 18

B-S for Futures

d₁ = ?

Answer 18