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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.
A country''s national accounts are assumed to look as follows: GDP 1180 VAT and taxes 140 Commodity subsidies 60 Raw material and consumables 530 1. Calculate GVA 2. Calculate t
Examples of grouped, simple and frequency distribution data
the president of a certain firm concerned about the safety record of the firms employee sets aside $50 million a year for safety education. the firms accountant believes that more
Chi Square Test as a Distributional Goodness of Fit In day-to-day decision making managers often come across situations wherein they are in a state of dilemma about the applica
Statistician is searching the \home ground" effect and is studying 20 football games, of which 14 were won by the home team and 6 by the visitors. Therefore the game is a Bernoulli
PROPERTIES 1. The value of standard deviation remains the same if, in a series each of the observation is increased or decreased by a constant quantity. In statistical lan
Primary and Secondary Data: Primary Data: These data are those are collected for the first time. Thus primary data are original in character and gathered by actual observat
Define sampling unit and population for selecting a random sample in every case. a) 100 voters from a constituency b) 20 stocks of National Stock Exchange c) 50 account ho
Importance of official statistic
Modify your formulas from (1) to compute the price at time 0 of an American put option with the same contract speci cations in the binomial model. Report the price of the American
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