C 3 =S 3 N(d 13 )−E 3 N(d 23 )
C 3 =S 3 N(d 13 )−E 3 N(−d 13 )
C 3 =S 3 N(d 13 )−E (^3) ( 1 −N(d 13 ))
pour le ratio de couverture on vérifie que :
∂Ci
∂Si
=N(d 1 i)= 0,5σ τ
S 3 =E 3
C 3 =N(d 13 )(S 3 +E 3 )−E 3
C 3
E 3=N(d 13 )−N(d 23 ) ou encoreC 3
S 3=N(d 13 )−N(d 23 )C 3
S 3=N(d 13 )−N(−d 13 )=N(d 13 )−( 1 −N(d 13 ))C 3
S 3
= 2 N(d 13 )− 1 ou encoreC 3
E 3= 2 N(d 13 )− 1d 13 = 0,5σ
(^2) τ
σ τ
= 0,5σ τ
C 3
S 3
== 2 N(0,5σ τ)− 1 ou encoreC 3
E 3== 2 N(0,5σ τ)− 1