Tag Archives | Currency Derivatives

Valuation of Put Option using Black-Scholes Model | Forex Management

An alternative form of valuation is to use the Black-Scholes formula for a put, which is: P = Xe –r(T-t) [1-N(d2)] – S [1-N(d1)] Where d1 and d2 are as given in the section deriving a call option. Note that [1 - N(d2)] is the same as N(-d2) and [1 - N(d1)] is the same as N(-d1). Using the same [...]

By |2017-10-09T08:51:40+05:30October 9, 2017|Options|Comments Off on Valuation of Put Option using Black-Scholes Model | Forex Management
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Currency Options and Its Benefits | Derivatives | Forex Management

Currency options is "a contract giving the buyer the right but not the obligation to exchange a specified amount of one currency into another specified currency on or before a specified date at a specified rate of exchange. The buyer (holder) of the option pays a 'premium' to its writer (seller)". An option is a contract that gives the holder [...]

By |2017-10-09T08:51:40+05:30October 9, 2017|Options|Comments Off on Currency Options and Its Benefits | Derivatives | Forex Management
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