What's new

Black-Schoes d1 and d2 calculation

David Harper CFA FRM

David Harper CFA FRM
Staff member
Hi Jack,

I think N(d1) and N(d2) will be given; i.e., based on historical exams, and just thinking about the difficulty of getting N(d1) [it would need to be given, or d1 would need to "conveniently" solve to 1.65 or 2.33], I am confident the only BSM calculation will be one where N(d1) and N(d2) are given such that you need to solve at the "superficial" level of the BSM, but not get into the d1/d2 itself (although please note, you *should* be able to figure d2; it is DD. But you can't be expected to get N(d2)).

But okay, what I am doing is, I started this document for GARP's research director.
Thread here: http://www.bionicturtle.com/forum/viewthread/1532/
And the document itself is here: http://writer.zoho.com/corporate/1978922/btzoho/clarifications_GARP_v1

I will collect these "imprecisions" and get formal clarification. Thanks for raising this!