Expression 5: "P" Subscript, "P" "Y" "T" , Baseline equals 1 minus StartFraction, 1 Over 2 negative StartNestedFraction, 2 "x" NestedOver ln "d" , EndNestedFraction , EndFraction left brace, "x" greater than or equal to 0 , right bracePPYT=1−12−2xlndx≥0
5
The price of 1 NYT in terms of the underlying is:
6
Expression 7: "P" Subscript, "N" "Y" "T" , Baseline equals StartFraction, 1 Over 2 negative StartNestedFraction, 2 "x" NestedOver ln "d" , EndNestedFraction , EndFraction left brace, "x" greater than or equal to 0 , right bracePNYT=12−2xlndx≥0