Why should I choose AnalystNotes?
Simply put: AnalystNotes offers the best value and the best product available to help you pass your exams.
Basic Question 4 of 12
The Black model suggests calculating the present value of the difference between the futures price and the exercise price to arrive at the value of a futures option. The futures price and exercise price are adjusted by ______.
B. the continuously compounded risk-free rate
C. volatility
A. N(d) functions
B. the continuously compounded risk-free rate
C. volatility
User Contributed Comments 0
You need to log in first to add your comment.
I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.