Читать книгу Fundamentals of Financial Instruments - Sunil K. Parameswaran - Страница 87

We know that if a dollar is invested for N periods at a quoted rate of r% per period and if interest is compounded m times per period, then the terminal value is given by the expression

In the limit as

where e = 2.71828. Known as the Euler number or Napier's constant, e is defined by the expression:

This limiting case is referred to as continuous compounding. If r is the nominal annual rate, then the effective annual rate with continuous compounding is e^r − 1.