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e 2.71828 F = S erT
F = (S-I) erT F = (S+U) erT
F = S e(r-q)T F = S e(r+u)T
F = S e(r-rf)T c=r+u-q
F = S e(r+u-q)T F eyt = S e(r+u-q)T
F eyt = S ecT fi = (Fi - K) e-ri ti
Basis = S - F Basis = (S* - F) + (S - S*)
h = NF / NA h* = ρ (σS / σF)
NF* = (h*) NA ρ = σ12 / σ1 σ2
N* = (h*) NA / QF N** = (h*) VA / VF = [(h*) NA / QF ](S / F)
N* = β (VA / VF) N* = ( - *) (VA / VF)
^r = (r*T*-rT) / (T*-T) Q = 100 – R
FRA = L(RK – RF) (T2-T1) e-R2T2
VF = 10,000 [100 - .25R] D = [ ti ci e-y(ti)] / B Dp = Ʃ wi Di
B/y = -BD B = -BDy N* = P DP / VF DF
V = Bfix - Bfl V = SBA - BB
Bfix = ci e-ri ti + Le-rn tn Bfl = k* e-r1 t1 + L e-r1 t1
Mgn = Max{[sale proceeds + .2S – otm], [sale proceeds + .1S]}
cCS p Ke-rT ; P K
C c max{S-K, 0} P max{K-S, 0}
c S - Ke-rT p Ke-rT - S
c S - (Ke-rT + D) p (Ke-rT + D) - S
s + p = Ke-rT + c s + p = (Ke-rT + D) + c
= (cu - cd)/(Su - Sd) c = f(S, K, T, r, σ, D)
δp = Σ Xi δi γp = Σ Xi γi υp = Σ Xi υi
c = [cu P + cd (1-P)] e-r t ; where P = (er t - d)/(u - d); u = e(sqrt(t)) ; and d = 1/u
c = [cuu P2 + 2cud P(1-P) + cdd (1-P)2] e-r 2t c = S0 B[a,N,P'] - Ke-r Nt B[a,N,P]