- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 5. Black Option Valuation Model
CFA Practice Question
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
Correct Answer: A
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