Assumption

Description

End of Day Valuations

All valuations are assumed to take place at the end of the day.

Valuation on Maturity Date

Due to assuming end-of-day valuations, if Value Date = Maturity Date, then the option has effectively expired. Thus the option is equal to zero.

Dividend paid on Maturity Date

Due to assuming end-of-day valuations, if a discrete dividend is paid on the maturity date then that dividend will be included in the calculations.