HfB- Druckformatvorlage - Frankfurt School of Finance & Management

Formelverzeichnis
(7.1-1)
(7.1-2)
(7.1-3)
wobei: σ = (σ(1) 2 + σ(2) 2 – 2 ρ σ(1) σ(2)) ½
(1) (1) (2) (2) (1) (2) 2
ln (a S / a S ) + (cc – cc + σ / 2) T
d1 =
σ √T
d2 = d1 - σ √T
1/ Restlaufzeit
Bonus-Level
Bonus-Rendite p.a. (in %) = -1 *100
Kaufpreis Zertifikat
Barriere
Abstand zur Kursschwelle (in %) = 1- * 100
Kurs des Basiswerts
Kurs des BZ
Discount zum Basiswert (in %) = -1 * 100
Kurs des Basiswerts
(7.5-1) c = S0e -Div*T N(d1) –Ke -r f *T N(d2)
wobei:
d1 =
ln (S0/K) + (rf - Div + σ 2 /2) T
σ √T
(7.5-2) pdo(K>B) = A – B + C – D + F
wobei: Φ = -1 η = 1
d2 =
ln (S0/K) + (rf - Div - σ 2 /2) T
σ √T
A = ΦSe (cc-r f )T N(Φx1) - Φ Ke - r f T N(Φx1-Φσ√T)
B = ΦSe (cc- r f )T N(Φx2) - Φ Ke - r f T N(Φx2-Φσ√T)
C = ΦSe (cc- r f )T (B/S) 2(μ+1) N(ηy1)-Φ Ke - r f T (B/S) 2μ N(ηy1-ησ√T)
D = ΦSe (cc- r f )T (B/S) 2(μ+1) N(ηy2)-Φ Ke - r f T (B/S) 2μ N(ηy2-ησ√T)
F = PDCP*[(B/S) μ+λ N(ηz)+(B/S) μ-λ N(ηz-2ηλσ√T)]
x1 = [ln(S/K) / σ√T] + (1 + μ)σ√T x2 = [ln(S/B) / σ√T]+(1+μ)σ√T
y1 = [ln(B 2 / SK) / σ√T] + (1+μ)σ√T y2 = [ln(B/S) / σ√T] + (1+μ)σ√T
z = [ln (B / S) / σ√T] + λσ√T μ = (cc - σ 2 / 2) /σ 2 λ = [(μ 2 + (2rf/σ 2 ))] ½
Frankfurt School of Finance & Management
Working Paper No. 82
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