S^a Flashcards
2
Q
What is the forward price of [S(T)a]?
Ft,T[S(T)a] =
A
Ft,T[S(T)a] = [S(T)a]ea(r-δ) + 0.5a(a-1)σ^2
3
Q
What is the yield on the derivative of S(T)a?
δ* =
A
δ* = r - a(r - δ) - 0.5a(a - 1)σ2
4
Q
What is the return on the option of S(T)a?
γ =
A
γ = a(α - r) + r