Commit 3f2847
2024-08-23 14:22:46 Stanislav Kubrak: SF Option Payoff draft v1| /dev/null .. sf option payoff.md | |
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| + | # SF Option Payoff |
| + | |
| + | Let's consider vanila call option. |
| + | The corresponding payoff looks as following: |
| + | |
| + | $P_{vanila} = max(S-K,0)$ |
| + | |
| + | However Stochastic.Finance options have a bit of non-trivial payoff as a fraction of the supplied collateral: |
| + | |
| + | $P_{SF} = \frac{P_{vanila}}{P_{vanila} + S} = \frac{max(S-K,0)}{max(S-K,0) + S}$ |
| + | |
| + | for every ETH supplied collateral, so that in case the collateral is 10 ETH the total payoff would be $P_{SF}$ * 10 ETH |