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Unformatted text preview: is earned (equation 4.9) V FRA = L ( RF K & RF ( s;T & s ) ) ( T & s ) e & rT where RF K and RF ( s;T & s ) are rates measured with a compounding frequency re&ecting their maturity. European Options Lower Bound c ± S & D & Ke & rT p ± Ke & rT + D & S Put-Call Parity c + D + Ke & rT = p + S Forward and Futures Prices Forward and Futures Prices ² Non-dividend paying asset F = S e rT ² Known dividend paying asset F = S e ( r & q ) T F = ( S & I ) e rT ² Foreign currency F = S e ( r & r f ) T ² Covenience yield and storage Cost F = S e ( r + u & y ) T F = ( S + U & Y ) e rT Forward Contract Present value of a long forward contract (equation 5.4 in text) f = ( F & K ) e & rT 2...
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