EFTA Document EFTA01457136

db Index Development In (k) (sin 2(Tg4.1 - 7.12.4 In Gt) -4(sterak+i- d2 _ r CfrOA+1 - t a ide is the after cost implied volatility of the relevant option and it is obtained from the implied volatility of the relevant exchange traded option as = cr, - !um( 4%*cr„0.79/0) Where, eye is the volatility of the call option which has strike K, and is calculated using standard Black's model. K, = Option strike. It is the integer value closest to the at the money forward future price on the