Quiz Ch 21 – Range of Values for N(d) in the Black-Scholes Model
Principles of Corporate Finance
Brealey, Myers, and Allen
13th Edition
What is the range of values that N(d), used in the Black-Scholes model, can take?
What is the range of values that N(d), used in the Black-Scholes model, can take?
What is the expression for the quantity (1 + downside change) if u represents (1 + upside change)?
True or false: Uncovering the beta of a call option entails computing the portfolio beta involving the replicating stock and risk-free loan.
True or false: The binomial model approaches the price of the Black-Scholes model as the periods decrease in size.
True or false: An escalation in the risk-free interest rate correlates with a rise in the value of a call option.
True or false: The outcome gradually converges towards the Black-Scholes model with an augmentation in the time per interval in a binomial model.
True or false: The values of N(d1) and N(d2), denoting cumulative probabilities, lie within the interval of 0 to 1.
True or false: Option holders do NOT have the right to receive any dividends paid on the underlying stock.
True or false: In the case of a European option, the put value is the difference between the call value and the sum of the share price and the present value of the exercise price.
True or false: To assess an American put option, it is advisable to employ a multiperiod binomial model, as the Black-Scholes formula does not accommodate early exercise.