9,11 Generalization(continued) Value of the portfolio at time T is S0l△-f2 Value of the portfolio today is (S0l△-fn)e Another expression for the portfolio value today is o△-f Hence f=S△-(S△-fn)e7 Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.11 Generalization (continued) • Value of the portfolio at time T is S0u D – ƒu • Value of the portfolio today is (S0u D – ƒu )e–rT • Another expression for the portfolio value today is S0 D – f • Hence, ƒ = S0 D – (S0u D – ƒu )e–rT