Options, Futures, and Other Derivative Securities |
Common terms and phrases
American amount approach approximation asset assumed becomes Black-Scholes bond calculated call option cash cents Chapter close compounding Consider constant continuous corresponding costs currency defined delivery delta dependent derivative security discount discussed distribution dividend dividend yield dollars equal equation estimate European call Example exchange exercise price expected Figure financial institution follows foreign formula forward contract function futures contract futures price given gives hedging holder increases interest-rate interval investor involves Journal July known lattice less loan maturity means months normal obtained option price parameters party payment pays period portfolio position profit provides put option rate of interest result risk risk-free interest rate risk-free rate riskless sell shares short shows simulation situation standard stochastic stock price Suppose swap Table traded underlying valuation variable variance volatility worth zero