bsm-model

  1. G

    BSM Model d1 and d2 and finding applicable z score

    I have two questions concerning d1 and d2 as inputs to the BSM model. 1. I have read in other sources that in the exam you will not likely be asked to calculate d1 and d2 but instead be provided with these as inputs for the BSM calculation. That said you will need to look up the applicable z...
  2. Nicole Seaman

    FAQ Exam Will the exam always provide N(d1) and N(d2) or do we need to know how to calculate them? (Are formula sheets provided? Answer: No)

    Question: The BSM formula is actually simple except for N(d1) and N(d2) in the case of the call, and N(-d1) and N(-d2) in the case of the put. Will the exam always provide N(d1) and N(d2) or do we need to know how to calculate them? Answer: That's a good point that BSM is simple except for the...
    • Nicole Seaman
    • Thread
    • black-scholes bsm bsm-model formulas n(d1) n(d2)
    • Replies: 9
    • Forum: FAQ's
  3. C

    Q37.3.4 - where do d1 and d2 values come from?

    in the solution it says, "since d1=1.25786...." Where do the d1 and d2 values come from? are they calculated using the formulas for d1 (page 54 of notes) and d2, and if so, what is the likelihood that is testable?
  4. H

    Black-Schoes d1 and d2 calculation

    Hello David, For the FRM exam, is it usually the case that we will be tested on the calculation of d1 and d2? Thanks!
  5. S

    Interpretation of N(d1) and N(d2)

    David: Is there is a straightforward "English language" interpretation for the BSM-related probabilities N(d1) and N(d2) -- for example, since N(d1) seems to be "linked" to S (current stock price) and N(d2) to the PV of the strike price, is there a simple way to understand the meaning of...
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