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Derivatives FORMULAE SHEET
Derivatives FORMULAE SHEET
Derivatives FORMULAE SHEET
F
rT
F0 = S0 e
F0 = (S0 − I )e rT
F0 = S0e(r −q )T
F0 = S0 e(
r − rf ) T
F0 ≤ S0 e(
r + u )T
for consumption commodities
yT
F0 e= ( S0 + U ) erT
𝐹𝐹0 = 𝑆𝑆0 𝑒𝑒 𝑐𝑐𝑐𝑐
Ft = Ste(c-y)(T-t)
CT = cT = Max{ 0, ST – K}
PT = pT = Max{ 0, K - ST}
c (S0,T,K) ≤ S0
C (S0,T,K) ≤ S0
p (S0,T,K) ≤ Ke-rT
P (S0,T,K) ≤ K
Ct ≥ Max{ 0, St - K}
Pt ≥ Max{ 0, K - St}
ct ≥ max ( St − Ke − rT ,0 )
pt ≥ max ( Ke − rT − St ,0 )
c + Ke − rT =
p + S0
𝑐𝑐 + 𝐾𝐾𝑒𝑒 −𝑟𝑟𝑟𝑟 + 𝐷𝐷 = 𝑝𝑝 + 𝑆𝑆0
c + Ke − rT =
p + S0e − qT
fu − f d
∆=
uS − dS
pfu + (1 − p ) f d
f =
e r ∆t
u = eσ ∆t
−σ ∆t
=d e= 1u
e r ∆t − d
p=
u−d
e( r − q )∆t − d
p=
u−d
𝑆𝑆𝑇𝑇 𝜎𝜎 2
ln ~N ��𝜇𝜇 − � 𝑇𝑇, 𝜎𝜎√𝑇𝑇�
𝑆𝑆0 2
𝜎𝜎 2
ln 𝑆𝑆𝑇𝑇 ~N �ln 𝑆𝑆0 + �𝜇𝜇 − � 𝑇𝑇, 𝜎𝜎√𝑇𝑇�
2
c S0e − qT N ( d1 ) − Ke − rT N ( d 2 )
=p Ke − rT N ( −d 2 ) − S0e − qT N ( −d1 )
ln ( S0 K ) + ( r − q + σ 2 / 2 ) T
d1 =
σ T
ln ( S0 K ) + ( r − q − σ 2 / 2 ) T
d=
2 = d1 − σ T
σ T
e − qT N ( d1 )
∆( call ) =
put ) e − qT N ( d1 ) − 1
∆(=
2
e − qT −d1 2
Γ(call and put) =
S0σ 2π T
S0
{−
2
Θ( call ) = σ e − d1 /2e − qT + qS0 N ( d1 )e − qT − rKe − rT N ( d 2 )} / (# of days in a year)
2 2 ΠT
S0 2
{−
Θ( put ) = σ e − d1 /2e − qT − qS0 N ( −d1 )e − qT + rKe − rT N ( −d 2 )} / (# of days in a year)
2 2 ΠT
S0 2
ν (call and put) = T e − d1 /2e − qT
2Π
ρ ( call ) = KTe N (d 2 )
− rT
ρ ( put ) =
− KTe − rT N ( −d 2 )
∆ p = n1∆1 + n2 ∆ 2