Options Flashcards by Artūrs Fleišmans | Brainscape

Q

Market Value of Equity

A

MVE = LC(k=k)

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Q

Market value of Debt

A

MVD = Enterprise value - MVE

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Q

Interest rate of debt

A

PV debt = Face value of debt/(1+r)^T

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Q

Breakeven rate

A

Breakeven = S +C or -P

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Q

SPKC

A

S+P=PV(K)+C

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Q

Binary Call

A

BC = Payoff * N(d2) * e^(-rcc*t)

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Q

BMS Call option

A

C = SN(d1) - PV(K)N(d2)

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Q

BMS d1

A

d1 = (ln(S/K) + T(r+sd^2/2)) / (sd(T)^0.5)

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Q

BMS d2

A

d2 = d1 - sd*(T)^0.5

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Q

Sd 1 year

A

SD 1 year = (SD6month^2 *2)^0.5

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Q

rcc

A

1+r = e^(rcc*t) | r for period t

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Q

u

A

u = e^ (sd*(T/N)^1/2)

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Q

d

A

d = 1/u

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Q

R

A

R = (e^rcc / 1+r)^(T/N)

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Q

probability u

A

p_u = (R-d)/(u-d)

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Q

Cu (risk neutral)

A

Cu = (Cuupu + Cudpd) / R

Q

Cd (risk neutral)

A

Cd = (Cudpu + Cddpd) / R

Q

C (risk neutral)

A

C = (pu^2Cuu + 2pupdCud + pd^2*Cdd) / R^2

Q

△u

A

△u = (Cuu-Cud) / (u*S * (u-d))

Q

Bu

A

Bu = (Cuu - △u*uuS) / R

Q

Cu (Dynamic replication)

A

Cu = △u*uS + Bu

Q

△d

A

△d = (Cud-Cdd) / (d*S * (u-d))

Q

Bd

A

Bd = (Cdd - △d*ddS) / R

Q

Cd (Dynamic replication)

A

Cd = △d*dS + Bd

Q

△

A

△ = (Cu-Cd) / (S * (u-d))

Q

B

A

B = (Cu - △*uS) / R

Q

C (dynamic replication)

A

C = △*S + B

Q

Synthetic call option

A

C = △*S - B

Q

Synthetic put option

A

P = B - △*S

Q

New S (BMS)

A

S = S - Dividend/e^(rcc*T) | T - of the dividend