January 13th, 2006, 8:13 am
QuoteOriginally posted by: JamesH83Dont mean to be rude cosmologist, but why do you bother repeating what I said in my original post?sorry for that mess up. How do I send you the step by step differentiation? Typing it is impossible. But then the second point is interesting ,too. You might have noticed that when you do a detailed calculation of 'delta', a miraculous ,spectacular cancellation happens. I did it eight years back when Hull only gave N(d) formulas. I first could not believe myself. I thought it can not be true. But,then, a reference with the distribution chapters showed me that a simple approach to find N(d) first could result in the option value,too. That happens when you break the CALL into basic building blocks. the detailed derivation must have been done in some books. I shall find out and tell you.cheers