49 lines
1.3 KiB
Plaintext
49 lines
1.3 KiB
Plaintext
952
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N t l t. Delta of long option eu ra ra 10 = -----=---=--Delta of short option
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Equivalent Futures Position (Ch. 34)
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EFP = Delta x Number of options
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Equivalent Stock Position (Ch. 28)
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ESP = Unit of trading x Delta x number of options
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Appendix C
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where unit of trading is the number of shares of the underlying stock that
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can be bought or sold with the option (normally 100).
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Futures Contract Fair Value (Ch. 29)
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-Stock index futures
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Index value x (1 + rt) + Present worth (dividends)
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Also see Present worth.
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Future Stock Price (Ch. 28)
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where
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-lognormal distribution, assuming a movement of a fixed number of stan
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dard deviations
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q = future stock price
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Vt = volatility for the time period
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a = number of standard deviations of movement
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(normally-3.0::; a::; 3.0)
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Gamma (Ch. 40)
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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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let z = In [ x ] /v --ft + v --ft
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S X (1 + r)t 2
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Then (-x212)
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r- __ e-===--
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- xv ✓ 2nt
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current stock price B
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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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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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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. |