Notation
From Thalesians
A word on notation. The symbols we prefer to use for various quantities and operations. These conventions should hold for most of this site, but not necessarily all of it.
- C - value of an American call option to buy one unit of the asset
- c - value of a European call option to buy one unit of the asset; also denoted V
- F - forward/futures price of the asset
- F0 - forward/futures price of the asset today
- K - strike price of the option
- P - value of an American put option to buy one unit of the asset
- p - value of a European put option to buy one unit of the asset
- q - dividend yield (equity options); foreign risk-free rate (FX options)
- r - risk-free rate, continuously compounded, for an investment maturing at time T (equity options); domestic risk-free rate (FX options)
- S - spot price of the asset
- S0 - spot price of the asset today
- t - current time
- T,t * - expiry time (expiration time, maturity time)
- V - value of a European call option to buy one unit of the asset; also denoted c
- μ - expected return on the asset per year
- σ - volatility of the spot price of the asset per year
- Φ - standard normal CDF
- ϕ - standard normal PDF
- τ - tenor of the option (time to expiry, time to maturity)
