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FINA4920-OptionsSummary1

FINA4920-OptionsSummary1 - -= =-Put Call Paritycontinuous...

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= - , Call Payoff MaxS X 0 = ( - , ) Put Payoff Max X S 0 = - , - Call Profit MaxS X 0 C = - , - Put Profit MaxX S 0 P - = - - Black Scholes Call Price S0Nd1 Xe rTNd2 = + + = - where d1 lnS0X r σ22TσT and d2 d1 σT - = - - - (- ) Black Scholes Put Price Xe rTN d2 S0N d1 = + + = - where d1 lnS0X r σ22TσT and d2 d1 σT - = = + - ( + ) Put Call Paritydiscrete compounding Call Price
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Unformatted text preview: -= = + - -Put Call Paritycontinuous compounding Call Price S P Xe rT PURPOSE FUNCTION CALL NAME, SYNTAX, ARGUMENTS MAXIMUM VALUE =MAX(NUMBER_1, NUMBER_2, … , NUMBER_N) =MAX(ARRAY) NATURAL LOG =LN(NUMBER) STANDARD NORMAL CUMULATIVE PROBABILITY DISTRIBUTION =NORMSDIST(Z)...
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  • Spring '11
  • LAZAR
  • Philosophical terminology, Black-Scholes Put Price=Xe-rTN-d2-S0N, Put-Call Paritydiscrete compounding=Call, Put-Call Paritycontinuous compounding=Call, Price=S+P- Xe-rT, compounding=Call Price=S+P

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