49 lines
1012 B
Plaintext
49 lines
1012 B
Plaintext
948
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Annualized Risk (Ch. 26)
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Annualized risk = L INV 360
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i
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1
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Hi
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where INVi = percent of total assets invested in options
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with holding periods, Hi
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length of holding period in days
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Bear Spread
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-Calls (Ch. 8)
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-Puts (Ch. 22)
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p = Cl - C2
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R = s2 - s1 - P
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B = s1 + P
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R = P2 - Pl
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p = S2 - S1 - R
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B = s1 + P = s2 + Pl - P2
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Black Model (Ch. 34):
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X
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s
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C
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p
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r
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Theoretical futures call price= e-rt x BSM[r = 0%]
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where BSM[r = O) is the Black-Scholes Model
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using r = 0% as the short-term interest rate
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Put price = Call price - e-rt x (f - s)
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where f = futures price
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current stock price
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striking price
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call price
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put price
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interest rate
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time (in years)
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B
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u
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D
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p
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R
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break-even point
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upside break-even point
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downside break-even point
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maximum profit potential
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maximum risk potential
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f futures price
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Appendix C
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Subscripts indicate multiple items. For example s1, s2, s3 would designate three striking prices in a formula.
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The formulae are arranged alphabetically by title or by strategy. |