acca考试科目P4 Past paper June 2011 Q4

acca考试科目P4 Past paper June 2011 Q4


Hi ,
Does someone understand how to determine Pe(exercise price)and Pa (current price) for BSOP model when it is about “real”option like in Q4 past paper June 2011? I can’t understand why they take 35 asexercise price and 38,75 as current price.
Thank you

The following steps might help
0.5795 x [180 x (1+2i+i²)+180 x (1+i) + 180] = 13.893
26.62
0.579 x [180 + 360i + 180i² + 180 +180i +180] = 13.893
26.62
0.579 x [ 540 +540i +180i²] = 13.893 x 26.62
312.66 + 312.66i + 104.22i² = 369.83166
Rearranging the equation
104.22i² + 312.66i – 57.17166 = 0

Solving the simultaneous equation (I used my calculator for this but there is a formula)
i = 0.1729 or -3.1729
Hope that helps