(= 5 Nidi) - Xe-rT N(dz)

di= ln ()+(+E
what will delta change
given the time change?
das
OVE
x
A
dz = di-o
Nidu= S jet
wid =
Nidi)
f
Deviviation
telesje
10. Tim

acas
sa o elit si o sa
SK Seriorm
a certej 20
*** Nida)
nearly homogeneous property in terms of asset price and exerase
price
/
A
f Maxi0,55-*)
KG = max(0, K5,- KX)
A=DF(B) . K. AF DF(KB)
DF
E A=E(B) KA= E(KB)

State Euler's Fomular

Check
C=
linear
cnecie
de kist der KX= K.C.
EENUD BE IN(dz)
E you get back the IS
C= SN(1) TN (2)
Formula
interpretation des units of stock
o units of bond.
check in my delta
Simulation, whether
the bond portion agrees
Need to update

the cheat sheet

with these
formulas
DE EST. NA
er=xcNjeri) de = ln()+(-4)
I
rt dat Nedz)
overall impacto positive.
discountry
(ZPIN E
zp | C
icut
-2
at 1264+ (7)
u T zp
IND

<3 tim i u
[X3+225],9% = (x352,9%
=
(x<*99* - [xl] 9% [xetsts]
ci i Aspes x S SISTS -
10
a po
mom
sp(1H (5) Santa
4+165975=IS
230+1 05:15
0=1
X Prob?[577X]=XN(dz)
Scal)
he expected
assei me at
Stress,
expiration, quen
at
the asset mi
expiration is above everuse
a
Sp>k Jęzdzi
e
xpi
dz
a se
ser et
de ser reci

ES
27)
1 Y= {OF
E=YtoTE
(E-GAZ
a
tee
E C-dz,+*)
dz=di-FE
E >-(di-F)
E> o dl
CENTENG)
et se" (191) - XN(42)]
= 5Nidi) - Xe-N92).
K
fz
-d)
YtoJE >OFF-dj
here is that the
Q measue is detected
overall a mease is
reflected on

Yadi
expression: Seetodi
y not fra)
a sutto lēE dy fest,
bile St=f()
=ser
= sert. Nidi)
Document
o Greekma formula, tak
® Euler, linear homogenous property
® How RN measure is reflected in the calculation
Sector

ae pe ea
> not counted anymore.
already capture the risk penum
ABS Formula
PIED
especially
Hitam
henne at El se attoir)
) we don knwa).
[COD
option price