Dear David,
Can you kindly help me with the following questions?
1) How can we interpret d1 in Black-Scholes Model and Merton model? According to Hull in his book, d1 is such that SoN(d1)exp(rT) equals to St when St > k, I don't quite catch what he means.
2) As to the main difference between Black-Scholes Model and Merton model, is it the fact that a dividend yield q and expected stock return is recognized in Merton model but not in Black-Scholes model?
Thank you very much!
Cheers!
Liming
02/11/2009
Can you kindly help me with the following questions?
1) How can we interpret d1 in Black-Scholes Model and Merton model? According to Hull in his book, d1 is such that SoN(d1)exp(rT) equals to St when St > k, I don't quite catch what he means.
2) As to the main difference between Black-Scholes Model and Merton model, is it the fact that a dividend yield q and expected stock return is recognized in Merton model but not in Black-Scholes model?
Thank you very much!
Cheers!
Liming
02/11/2009
