Glossary of Symbols............................................
A fixed income (risk free) security price; money market account
B bond price
β beta factor
c covariance
C call price; coupon value
C covariance matrix
CA American call price
CE European call price
C ̃E discounted European call price
Cov covariance
delta Greek parameter delta
div dividend
div 0 present value of dividends
D derivative security price; duration
D ̃ discounted derivative security price
DA price of an American type derivative security
E expectation
E∗ risk-neutral expectation
f futures price; payoff of an option; forward rate
F forward price; future value; face value
gamma Greek parameter gamma
Φ cumulative binomial distribution
k logarithmic return
K return
i coupon rate
m compounding frequency; expected logarithmic return
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