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• The market is frictionless. There are no taxes, transaction costs, bid/ask spreads
or restrictions on short sales. All securities are perfectly divisible. Trading does
not affect prices. Information is available to all investors simultaneously. Every
investor acts rationally and there are no arbitrage opportunities.
• The risk-free interest rate is constant.
• The notation is the same as used in Derivatives Markets, by Robert L. McDonald.
f=
Z ( x ) =
N ′( x ) = = , −∞ < x < ∞.
2π 2 × 3.14159 2.50663
Let Y be a lognormal random variable. Assume that ln(Y) has mean m and standard
deviation v. Then, the density function of Y is
1 1 ln( x) − m 2
=fY ( x ) exp − , x > 0.
xv 2π 2 v
The distribution function of Y is
ln( x) − m
FY ( x) = N , x > 0.
v
Also,
1
E[Y k] = exp km + k 2v 2 ,
2
which is the same as the moment-generating function of the random variable ln(Y)
evaluated at the value k.
FORMULAS FOR OPTION GREEKS:
Delta ( ∆ )
Call: e −δ (T −t ) N (d1 ) ,
Put: −e −δ (T −t ) N (−d1 )
Gamma ( Γ )
e −δ (T −t ) N ′(d1 )
Call and Put:
Sσ T − t
Theta ( θ )
Ke − r (T −t ) N ′(d 2 )σ
Call: δ Se −δ (T −t ) N (d1 ) − rKe − r (T −t ) N (d 2 ) − ,
2 T −t
Put: Call Theta + rKe − r (T −t ) − δ Se −δ (T −t )
Vega
Call and Put: Se −δ (T −t ) N ′(d1 ) T − t
Rho ( ρ )
Call: (T − t ) Ke − r (T −t ) N (d 2 ) ,
Put: −(T − t ) Ke − r (T −t ) N (−d 2 )
Psi (ψ )
Call: −(T − t ) Se −δ (T −t ) N (d1 ) ,
Put: (T − t ) Se −δ (T −t ) N (−d1 )