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Fwd price = FP =
•
•
•
•
•
•
PV of discrete dividends =
Continuous rf =
PV of coupons =
1
CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org
•
•
Futures price0 =
•
•
FV of coupons =
Continuous div =
2
CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org
Put-call parity:
•
•
•
•
One period binomial formulas
S+ =
S- =
Max c+ = Max p+ =
Min c- = Min p- =
Pie =
c0 =
Hedge amount = n =
•
S++ =
S+ - =
S -- =
Max c++ =
Mid c+ - =
Min c - - =
Pie =
3
CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org
c1+ =
c1- =
c0 =
Hedge amount at S+ = n+ =
Hedge amount at S - = n - =
Delta -
•
•
•
Gamma -
•
Rho -
Theta -
Vega -
Black Model
Change in Call =
Change in Put =
4
CFA Level II
Formula Sheet 7 – Derivatives
http://www.cpa-cfa.org
PV factor = PVF =
•
•