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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
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I used your notes and passed ... highly recommended!
Lauren
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.