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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 put option under the binomial model.
Compute x(1); y(1) i.e., the number of shares of the stock and risk-free asset needed at time 0 to replicate the American option over the rst time-step.
Identify which nodes (if any) prior to the terminal date T = 1 are optimal exercise points. In other words, identify the points on the binomial tree, if any, where early exercise is optimal. It is enough to simply highlight these nodes on a visual representation of the stock or option price binomial tree.
Report the early exercise premium for the American put option, i.e., compute PA PE. This is the cash value associated with the ability to exercise early.
Mean Absolute Deviation To avoid the problem of positive and negative deviations canceling out each other, we can use the Mean Absolute Deviation which is given by
Discriminant analysis (DA) helps to determine which variables discriminate between two or more naturally occurring groups. Mathematically equivalent to MANOVA, it ' is extensively
The interest rate on the three year loan is 0.087. Whereas the interest rate on the two year loan is 0.085 as given in A. Suppose that the liquidity premium at t=1 is 0.002 and tha
Applications of Standard Error Standard Error is used to test whether the difference between the sample statistic and the population parameter is significant or is d
what is non linear modl
Find the Relation between two substance: The following table shows the results obtained in experiments aimed to determine how solubility of water in benzene depends on tempera
i am new to stata and i am trying to figure out how to calculate expected growth of sales tax revenue as well as average growth rate of sales tax revenue in stata. I have a dataset
The Truly Canadian Restaurant stocks a private red table wine that it purchases from a local winery in the Niagara Falls region. The daily demand for the wine at the restaurant is
In reduced rank regression (RRR), the dependent variables are first submitted to a PCA and the scores of the units are then used as dependent variables in a series of
Mode The mode is the value which occurs most frequently in a set of observations on the point of maximum frequency and around which other items of the set cluste
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