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    Formula Sheet

    Uploaded by

    华邦盛

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd

    Formula Sheet

    Uploaded by

    华邦盛
    6 views3 pages

    Copyright

    © © All Rights Reserved

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    DOCX, PDF, TXT or read online from Scribd

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    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    6 views3 pages

    Formula Sheet

    Uploaded by

    华邦盛

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 3

    Formula Sheet

    Swaps:
    n

    ∑ P (0 , ti )[ R−F0 ,t ]=0 i
    i=1
    n

    ∑ P(0 ,t i )F 0 ,t i

    R= i=1 n
    ∑ P( 0 ,t i)
    i=1

    Put-Call Parity:

    C ( K , T )−P ( K ,T )=PV 0 ,T ( F 0 ,T −K)

    Binomial Tree:

    √
    ( r−δ ) h+σ h
    u=e
    ( r−δ ) h−σ √ h
    d=e

    Binomial Solutions for a call option:

    Cu −C d
    Δ=e−δh
    S(u−d )
    −rh uC d−dC u
    B=e
    u−d

    ( )
    ( r−δ ) h ( r−δ ) h
    −rh e −d u−e
    C=∆ S+ B=e Cu +C d
    u−d u−d

    The Black-Scholes Formula:

    −δT −rT
    C (S , K , σ , r , T , δ)=S e N ( d 1 )−K e N ( d 2)

    −rT −δT
    P(S , K , σ , r ,T , δ)=K e N ( −d 2 )−S e N ( −d 1 )

    d 1=
    ln
    S
    K (
    1
    + r −δ+ σ 2 T
    2 )
    σ √T
    d 2=d 1−σ √ T

    1
    Z table: cumulative standard normal distribution function

    2
    3

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