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The Term Structure of Interest Rates
Options Forwards and Futures
4 other sections not shown
A(t+T actuarial American call option American options American put approach arbitrage arbitrage profits asset portfolio assume assumption Black-Scholes bond futures contract bond prices call price call value cash flow sequence Chapter common stock compute corresponding coupon bonds coupon paying bond coupon rate current price delivery denote derivative securities dividend duration early exercise equal European call option European options European put option example expected value forward contract forward price function futures contract futures price Hence illustrate inception interest rate risk investment investor liability portfolio lognormal distribution long position normal distribution Note obtain one-period forward rates option contract option expiration option prices option values payoff period provides pure discount bond put price put-call parity random variables random walk result riskless bonds riskless rate short position spot rates stock price strategy strike price structure of interest swap Table traded underlying asset values at expiration variance volatility yield to maturity