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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.
For many decades, there has been considerable attention paid to identifying various factors that help to reduce the number of fatalities on Australian roads. In 1964 Victoria and S
Consider the following new business venture. An agent is considering investment in one of three real estate parcels: • Option 1: multiunit rentals • Option 2: commercial building
Origin and Development of probability Theory: The credit for origin and development of probability goes to the European gamblers of 17 th century. They used to gamble on gam
This question explores the effect of estimation error on apparent arbitrage opportunities in a controlled simulation setting. We simulate returns for N = 10 assets over T = 30 year
In the case of permanent magnet DC motor whose stator consists of a permanent magnet we can take the field current to be constant (i.e. a constant magnetic field) and it can be sho
A sample of 43 houses that were purchased in the Southern California town Monrovia within a month was collected. We are interested in the study of the relationships between Price a
A study was designed to investigate the effects of two variables - (1) a student's level of mathematical anxiety and (2) teaching method - on a student's achievement in a mathemati
1. For each of the following variables: major, graduate GPA, and height: a. Determine whether the variable is categorical or numerical. b. If the variable is numerical, deter
what the purpose we use it
Importance of official statistic
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