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In mathematical finance, Margrabe's formula [1] is an option pricing formula applicable to an option to exchange one risky asset for another risky asset at maturity. It was derived by William Margrabe (PhD Chicago) in 1978. Margrabe's paper has been cited by over 2000 subsequent articles.
deg – degree of a polynomial, or other recursively-defined objects such as well-formed formulas. (Also written as ∂.) del – del, a differential operator. (Also written as.) det – determinant of a matrix or linear transformation. DFT – discrete Fourier transform. dim – dimension of a vector space.
Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
A mathematical symbol is a figure or a combination of figures that is used to represent a mathematical object, an action on mathematical objects, a relation between mathematical objects, or for structuring the other symbols that occur in a formula. As formulas are entirely constituted with symbols of various types, many symbols are needed for ...
A derivation of Faulhaber's formula using the umbral form is available in The Book of Numbers by John Horton Conway and Richard K. Guy. [17] Classically, this umbral form was considered as a notational convenience. In the modern umbral calculus, on the other hand, this is given a formal mathematical underpinning.
TeX markup is not the only way to render mathematical formulas. For simple inline formulas, the template {} and its associated templates are often preferred. The following comparison table shows that similar results can be achieved with the two methods. See also Help:Special characters.
For example, letting denote the set of real numbers, ∀x: x ∈ ⇒ (x+1)⋅(x+1) ≥ 0 is a mathematical formula evaluating to true in the algebra of complex numbers. An atomic formula is called ground if it is built entirely from ground terms; all ground atomic formulas composable from a given set of function and predicate symbols make up ...
For example, given a = f(x) = a 0 x 0 + a 1 x 1 + ··· and b = g(x) = b 0 x 0 + b 1 x 1 + ···, the product ab is a specific value of W(x) = f(x)g(x). One may easily find points along W(x) at small values of x, and interpolation based on those points will yield the terms of W(x) and the specific product ab. As fomulated in Karatsuba ...