Derivatives and Black Scholes model

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    Topic
  • March 23, 2017 at 8:13 pm #1521495
    Smartcpa
    Participant

    Hi

    Is there anyone here familiar with Derivatives? If the convertible note has been defaulted, how do we determine the time to maturity in Black Scholes calculation?

    Thank in advance

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  • March 23, 2017 at 11:26 pm #1521601
    Anonymous
    Inactive

    Are you looking to do this by hand or in excel?
    Financial Modeling by Simon Benninga has a good chapter explaining how to do this with excel and vba. You can easily find a copy of the the 3rd edition online. Its in chapter 13.
    Hope this helps

    March 23, 2017 at 11:46 pm #1521609
    Smartcpa
    Participant

    but how can we determine what period. Let say the convertible note issued on 1/1/2015 and matured on 12/31/2015. At the end of 2015, the note has not been converted yet. It is defaulted and how we determine the time to maturity. is it zero or what else?
    Thanks

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