O'Reilly logo

Risk Neutral Pricing and Financial Mathematics: A Primer by John L. Teall, Peter M. Knopf

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

image

p0,call=X2erT2M(d2,y2;T1T2)S0M(d1,y1;T1T2)+X1erT1N(d2)

image

c0,put=X2erT2M(d2y2;T1T2)S0M(d2y2;T1T2)X1erT1N(d2)

image

p0,put=S0M(d1y1;T1T2)X2erT2M(d2y2;T1T2)+X1erT1N(d2)

image

Let ct,call, pt,call, ct,put, and pt,put denote the values of a call on a call, a put on a call, a call on a put, and a put on a put at time t, respectively. To obtain the ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required