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In quantitative finance, my professor posted solution to our homework in the following spread sheet. I know what S, K, T, sigma, rho, delta, gamma
In quantitative finance, my professor posted solution to our homework in the following spread sheet. I know what S, K, T, sigma, rho, delta, gamma (the greeks) are. What I don't understand are the letters N, U, A, Q, and df. What are these short for? I will also include the question below if that helps.
#2. Build in Excel a four-step tree to value a six-month European call on a non-dividend paying stock. | |
Assume the current stock price is 40, the call strike is 40, the annualized risk-free rate is 12%, and the annualized volatility of the stock is 40%. |
stock call | |
S | 40 |
K | 40 |
T | 0.5 |
sigma | 0.4 |
r | 12% |
n | 4 |
u | 1.15191 |
d | 0.868123 |
a | 1.015113 |
q | 0.5180 |
df | 0.9851 |
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