american-call-option

  1. Nicole Seaman

    P1.T4.816. Black-Scholes-Merton (BSM) for dividend-paying stocks and the early exercise decision for American-style options (Hull Ch.15)

    Learning objectives: Explain how dividends affect the decision to exercise early for American call and put options. Compute the value of a European option using the Black-Scholes-Merton model on a dividend-paying stock. Questions: 816.1. Brian is a Risk Analyst who is using the...
  2. Nicole Seaman

    P1.T4.811. Two-step binomial models (Hull Ch.13)

    Learning objectives: Calculate the value of an American and a European call or put option using a one-step and two-step binomial model. Describe how volatility is captured in the binomial model. Questions: 811.1 Consider a six-month at-the-money (ATM) European call option on a...
    • Nicole Seaman
    • Thread
    • american-call-option american-put-option european-call-option european-put-option one-step-binomial two-step-binomial volatility
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    • Forum: FRM® Practice Questions
  3. David Harper CFA FRM

    L1.T4.5. Black-Scholes with dividends

    David's ProTip: We already have enough option pricing formulas to remember, what do we do about dividends? Just remember that dividends tend to manifest as a reduction on the stock price. Like dividends reduce delta, as N(d1) becomes N(d1)*exp(-qT), so to in Black-Scholes. But also, don't...
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