Glossary of Symbols and Abbreviations

anj

discount factor for n payments and rate j

B(t) or Bt

value of a risk-free security (e.g. a bond or a bank account) at time t

b(x; n, p)

probability mass function for the binomial law Bin(n, p)

ℬ(x; n, p)

(cumulative) probability distribution function for the binomial law Bin(n, p)

Bin(n, p)

binomial probability distribution with number of trials n and success probability p

CA

American call

CE

European call

CDF

cumulative (probability) distribution function

Corr(X, Y)

correlation coefficient of X and Y

Cov(X, Y)

covariance of X and Y

CRR

Cox–Ross–Rubinstein

D

downward move in a binomial tree

div

dividend

D(t, T)

discount factor from time t to time T

D(t) ≡ D(0, t

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