How to calculate n(d1) and n(d2) values in sfm ca final

5511 views 1 replies

Dear Friends Please Me to Get Out from this problem.

I did not understand how to calculate these values specially when Normal Distribution table is given in Exam.

For referance you can go to Nov. 2006 4(a) Question.

Please Reply as soon as possible. Possibally this question can again be asked in May 2012 Exam so reply fast.

Replies (1)

for calculating d1 you need to use the formula

[ln(Spot/Strike)+((r+variance/2)*time)]/std.dev*sqr root of time

 

Normally the ln() values will be given as a part of question. So normally you need not worry about it. 

The standard normal distribution table gives cumulative probabilities i.e. if the value of d1 is .3 then the table gives the probability of observing values less than and upto .3. 

 

The rules for using standard norm dist table are as under:

prob(positive d1) - read off the value from table. use linear interpolation for values lower than .001

prob(negative d1) - convert it into 1 - prob(positive d1) and use above rule.

Same applies for d2

 

Leave a Reply

Your are not logged in . Please login to post replies

Click here to Login / Register  

Company
06 July 2026
Accountant

Agarwal Anoop and Associates

Noida

CA Final

View Details
Company
06 July 2026
Chartered Accountant (Indirect Taxation)

Gowra Ventures Pvt Ltd

Hyderabad

CA

View Details
Company
19 June 2026
Accounts Executive

Getfive Advisors Pvt. Ltd.

Ahmedabad

CA Inter

View Details
Company
29 June 2026
ACCOUNTANT

SANDEEP AASHISH & CO

Araria

B.Com

View Details
Company
ARTICLESHIP 27 June 2026
CA Articled Trainee And Paid Assistant

SKAA & Associates

New Delhi

CA Inter

View Details
Company
ARTICLESHIP 20 June 2026
Articleship

RB KESHRI & CO

Mumbai

B.Com

View Details
Company
29 June 2026
Accountant (Finance & Compliance)

TRIEYEZ

Kolkata

CA

View Details
Company
ARTICLESHIP 10 July 2026
Article Assistant

N S Gokhale & Co

Thane

CA Inter

View Details