Math Is Fun Forum

finance_overall

Member

Registered: 2008-12-04

Posts: 2

Black-scholes equation

Hi,

I got a problem with one equation using Black-scholes. I need to find:

K*exp(-rT)N'(d2)=SN'(d1)

Where N'() is the first derivative of N() and d1 and d2 are the usual value of this model.

I need that equality to prove the delta formula afterward...

How to start to find this equality? Do I need to differenciate the call equation? If yes with respect to which variable? (for the delta I'll differenciate with respect to S)

If somebody know even a bit of how to do that, please tell me!!!

Thanks,

Val

finance_overall

Member

Registered: 2008-12-04

Posts: 2

Re: Black-scholes equation

Bad luck... Nobody seems to know that computation...

Hope I'll get an answer before tomorrow, it's my deadline and I didn't get anything alone!

Bye,

MK

Guest

Re: Black-scholes equation

Hi,

I just wanted to know if you finally found the answers to your questions?? Because I have the same for tomorrow :-) but I also can not figure it out...

Thanks a lot

finance_overall

Member

Registered: 2008-12-04

Posts: 2

Re: Black-scholes equation

Sorry, I didn't... :-(

This assigment was really trickier than before... Good luck!