Formula+Sheet+Nov+09

Formula+Sheet+Nov+09 - j p f j b f j j j w C w C w w R w R...

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Formula Sheet 0 0 1 rT 2 C = S N( d ) - X e N( d ) 0 rT 2 0 1 P = X e N( d ) S N( d ) - - - T /2)T + (r + /X) S ln( = d 2 0 1 σ σ 2 1 d = d - T σ Call option’s delta  = N (d 1 ) £/$ £ $ £/$ F 1+i = 1+i S $ £ ($ / £) P S P = ( 29 ( 29 $ £ $ / £ 1 $ / £ 1 F S π + = + )) ( 1 ( ) 1 ( 1 $ $ $ ρ E i + × + = + )) ( 1 ( )) ( 1 ( 1 1 £ $ £ $ E E i i + + = + + ( 29 F E s = ( 29 ( 29 $ 1 1 1 i i i R R e = + + - ( 29 ( 29 ( 29 p,d b,d , , , , , , , , , , , , , 1 1 1 R -R = n n n j p j p j b j b j p j b j b f j p
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Unformatted text preview: j p f j b f j j j w C w C w w R w R R = = =-+-+-∑ ∑ ∑ V X X CL X VaR ∆ +-= ∂ ∂ σ ρ μ α 2 1 12 2 2 1 1 1 1 2...
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This note was uploaded on 06/01/2011 for the course FIN 3026W taught by Professor Drtoerien during the Summer '09 term at University of Cape Town.

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Formula+Sheet+Nov+09 - j p f j b f j j j w C w C w w R w R...

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