on 03-31-2014 3:04 PM
Dear TRM experts.
Do you know if there is a Standard way to value and Currency Option using the Black-Scholes method?
Hope that someone could help me with the customizing.
Best regards
George Passini
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Dear TRM experts
Anyone can help me with this?
As I checked, the Black-Scholes method only use one interest valuation, but the system is using for both currencies and I can get the correct value.
Thanks for the support.
Hi George.
Please.
Check this SAP Notes Below.
1879790 - Calculation of option price with interest rates having standard distribution
1549381 - Valuation of swaptions as int. options acc. to Black&Scholes
Kind Regards.
Hi Jandoval,
Thanks for the notes.
Do you know how to make the customizing?
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