Formula Sheet

Swaps:
n

∑ P (0 , ti )[ R−F0 ,t ]=0 i
i=1
n

∑ P(0 ,t i )F 0 ,t i

R= i=1 n
∑ P( 0 ,t i)
i=1

Put-Call Parity:

C ( K , T )−P ( K ,T )=PV 0 ,T ( F 0 ,T −K)

Binomial Tree:

√
( r−δ ) h+σ h
u=e
( r−δ ) h−σ √ h
d=e

Binomial Solutions for a call option:

Cu −C d
Δ=e−δh
S(u−d )
−rh uC d−dC u
B=e
u−d

( )
( r−δ ) h ( r−δ ) h
−rh e −d u−e
C=∆ S+ B=e Cu +C d
u−d u−d

The Black-Scholes Formula:

−δT −rT
C (S , K , σ , r , T , δ)=S e N ( d 1 )−K e N ( d 2)

−rT −δT
P(S , K , σ , r ,T , δ)=K e N ( −d 2 )−S e N ( −d 1 )

d 1=
ln
S
K (
1
+ r −δ+ σ 2 T
2 )
σ √T
d 2=d 1−σ √ T

1
Z table: cumulative standard normal distribution function

2
3