Ch 3 · Derivatives Analysis & Valuation

🧮 Formula sheet

1. 1.Call (Black-Scholes) = S·N(d1) − K·e^(−rT)·N(d2)
2. 2.d1 = [ln(S/K) + (r + σ²/2)T] / (σ√T)
3. 3.d2 = d1 − σ√T
4. 4.Put-Call Parity: C − P = S − K·e^(−rT)
5. 5.Forward Price = S₀ × e^(r×T) (continuous compounding)