Previous Topic

Next Topic

oBLACK( ) Valuation Assumptions




End of Day Valuations

All valuations are assumed to take place at the end of the day.

Valuation on Maturity Date

Due to assuming end-of-day valuations, if Value Date = Maturity Date, then the option has effectively expired. Thus the option is equal to zero




Return to website

Copyright 2013 Hedgebook Ltd.