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嗯,留作纪念

保加利亚人坦率地承认错误@_@
好吧,其实他还是找了些个借口

From: PG-Ivanov, Ivan
Sent: 08 March 2011 22:11
Subject: RE: TERM SHEETS

My bad, I mistakenly thought that you've copied the payoff and did not notice that the "ABS" is not there which DOES allow for the worse-case scenario. This way it really is correct. 
I just thought (for whatever reason) that the ABS is still there which would have made it a gold mine like I said already :D


________________________________________
From: PG-Wang, Xiangming
Sent: Tuesday, March 08, 2011 10:03 PM
Subject: RE: TERM SHEETS

The 108% should always be in the formula because we bought 108 zero-coupon bond, which means the investor will get 108 from bond whatever happens. But, he can lose everything on the option side  if he ends up in the miserable left part.

This is exactly what is expressed in the second equation, the 108% is guarenteed while the (Final / Initial - 1) is always negative.(Scenario 1 says the final price is strictly BELOW the strike.)
(Equation 2 refers to the left half of red dotted line. )

“是我不对,我还以为你把前面的公式又抄了一遍。你这个没错,真真儿的。我刚才不知道咋了,还以为#¥@¥@##@¥(鬼脸)”

这小子咋了,今天这么低姿态?

(……3.8节的力量?= =)

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