Binomial and continuous model, Applied Statistics

Exercise: (Binomial and Continuous Model.) Consider a binomial model of a risky asset with the parameters r = 0:06, u = 0:059, d =  0:0562, S0 = 100, T = 1, 4t = 1=12. Note that u and d are monthly e ective rates of return and r is the annual e ective risk-free interest rate.

Determine the price of a European put option with strike price X = 98 on the above non-dividend paying asset at time 0 and nd x(1); y(1), i.e., the number of shares of the stock and risk-free asset needed at time 0 to replicate the European option over the rst time-step.

Posted Date: 3/9/2013 1:04:05 AM | Location : United States







Related Discussions:- Binomial and continuous model, Assignment Help, Ask Question on Binomial and continuous model, Get Answer, Expert's Help, Binomial and continuous model Discussions

Write discussion on Binomial and continuous model
Your posts are moderated
Related Questions
Use only the rare event rule, and make subjective estimates to determine whether events are likely. For example, if the claim is that a coin favors heads and sample results consis

Question: A car was machine washes each car in 5 minutes exactly. It has been estimated that customers will arrive according to a Poisson distribution at an average of 8 per hour.

Simple Linear Regression One calculate of the risk or volatility of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over

In this problem, we use the CSDATA data set, which is available in 'CSDATA.txt'. We do ne an indicator variable, say HIGPA, to be 1 if the GPA is 3.0 or better and 0 other- wise. S

Question: The weights of 60 children born to mothers in a small rural hospital were recorded. 3.63 3.54 3.15 3.90 4.29 4.06 2.91 3.36 3.3

Weighted Harmonic Mean Weighted Harmonic Mean is calculated with the help of the following formula: WHM Case

Descriptive Statistics : Carrying out an extensive analysis the data was not a subject to ambiguity and there were no missing values.  Below are descriptive statistics that hav

1. Suppose you are estimating the imports (from both the U.S. mainland and foreign countries) of fuels and petroleum products in Hawaii (the dependent variable). The values of the

construction of control chart,n chart

a) What is meant by secular trend? Discuss any two methods of isolating trend values in a time series.