FIN401examnotecard

FIN401examnotecard - (weird*T)N(d1)-Xe^(-rT)N)D2, d1=ln...

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Call/put, swaps, futures, forwards, American Anytime vs. European, put call parity (C + PV of X=P + S0) covered call, straddle: huge volatility bet, butterfly spread: low/high put and two halfway calls, ADD MORE , OPM assumptions: frictionless, no short restrictions, no discrete price jumps, constant Rf, no dividends, Binomial Pricing Model: Vo=NsPs+NbPb, Hedge Ratio: difference in gain/differenc in security priceC=So*e6-
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Unformatted text preview: (weird*T)N(d1)-Xe^(-rT)N)D2, d1=ln (So/X)+(r-d+.5SD)T, d(2)= d1-var*root(T), PUTP=Xe^(-rt)*[1-N(d2)]-Soe^(-weird*T)(1-N(d1)) futures: zero sum, shorting/hedging, basis risk: spot p- futures p, short hedge: decrease volatility, margin accounts of 5-15% of future: Se^(r-q)T, forward pricing: F= P*e^(rT), Forward pricing w/ D: P*e^((r-q)*T), Future Aribtrage possible if Rf is constant , IR swaps, FX swaps (95% spec)...
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This document was uploaded on 11/02/2011 for the course FIN 401 at Miami University.

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