ACT370H1 Lecture Notes - Log-Normal Distribution, Delta Neutral, Candela

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6 Feb 2014
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February 5, 2014 currency futures commodities bonds r rd r r r rf r lease coupon rate ( bond yield) u = e(r- )h + h. We saw u = erh (this form) |r rf| = 0. 01 d2 = d1 t d2 < d1 correction. N(d2) is probability that the option will expire in the money. 2: and b ~ n( b, b lognormal distribution and brownian motion linear combination of normals. C = aa + bb also has a normal distribution. If y ~ lognormal and z ~ lognormal. W = yz also has a lognormal distribution.

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