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Postby ameyakukde » Sun Apr 07, 2013 12:35 am

if the no.of days to maturity in a Black Scholes Model question are given as, say, 41. Then what should be the denominator? 365 or 250 i.e. calender days or trading days to calculate the price of the option?

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Postby vnraghuveer » Thu Apr 11, 2013 12:52 pm

It should be 365 days because the risk free rate of return is earned throughout the year

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