Brealey, Myers. Principles of Corporate Finance. 7th edition
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Brealey−Meyers:
Principles of Corporate
Finance, Seventh Edition
Back Matter Formulas
© The McGraw−Hill
Companies, 2003
Relationship between the Value of a Call
and a Put (20-2)
The relationship between the value of a
European call and a European put is:
Value of call + present value of exercise price
= value of put + share price
Black–Scholes Formula for Value of a Call (21-3)
Value of a call = [N(d
1
) × P] – [N(d
2
) × PV(EX)]
where
d
1
log[P/PV(EX)]/σ + σ /2
d
2
d
1
N(d) = cumulative normal probability function
PV(EX) = present value of exercise price
t = number of periods to exercise date
P = current price of stock
σ = standard deviation per period
of continuously compounded rate
of return on stock
log = natural logarithm
Inputs to Binomial Option Valuation Model
(21-1 and 21-2)
where σ = standard deviation of price changes
per year
h = interval as fraction of a year
Option delta
spread of possible option prices
spread of possible stock prices
1 Downside change d 1/u
1 Upside change u e
2h
Probability of upside change
in risk-neutral world
p
r
f
d
u d
2t
2t2t
Bond Duration and Volatility (24.3)
Volatility (modified duration ) Duration/(1 y)
Value of Lease (26-4)
If LCF
t
is the lease’s cash outflow in period t,
the value of an N-period lease of an asset
costing INV is:
Value of a Future (27-2)
Interest Rate Parity (28-2)
Growth Rates (29-5)
Sustainable growth rate (no increase in leverage)
plowback ratio return on equity
Internal growth rate (no external finance)
retained earnings/net assets
plowback ratio return on equity equity/net
assets
1 r
¥
1 r
$
f
¥/$
s
¥/$
PV a
convenience
yield
b
Futures price
11 r
f
2
t
spot
price
PV a
storage
costs
b
INV
a
N
t0
LCF
t
31 r 11 T
c
24
t
Duration of T-period bond
a
T
t1
t C
t
/11 y2
t
a
T
t1
C
t
/11 y2
t
Brealey−Meyers:
Principles of Corporate
Finance, Seventh Edition
Back Matter Formulas
© The McGraw−Hill
Companies, 2003
If you purchased a new copy of this text, you now own a valuable
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4. PowerPoint Presentation
5. Video Clips
6. Related Web Links