Title | Derivatives Formula Sheet |
---|---|
Author | Michael Wang |
Course | Derivatives 1 |
Institution | Monash University |
Pages | 2 |
File Size | 84.5 KB |
File Type | |
Total Downloads | 109 |
Total Views | 228 |
Formula sheet given at the final exam...
Derivatives Formula Sheet Futures and basic options:
Forward and futures on currencies The cost of carry Net payoff of Long Call Net payoff of Long Put Net Payoff of short call Met payoff of Short put European put-call parity American Put-call relation
h = β*( σs/σf) N = h*QA/QF F0 = S0e^rT Long position f= (F0-K)e^-rT Short Position f= (-F0 +K)e^-rT F0 = S0e^(r-rf)T F0 = S0e^cT Max(0, St-K)-C Max(0,.K-St)-P -Max(0, St-K)+C -Max(0,.K-St)+P C + Ke^-rt = P + So S0 – K...