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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 eective rates of return and r is the annual eective 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.
The cornlnunalities h j represent the fraction of the total variance' 'accounted for of variabie j. Ry calculating the communalities we can keep track of how much of-the orig
Rank Correlation Sometimes the characteristics whose possible correlation is being investigated, cannot be measured but individuals can only be ranked on the basis of the chara
A new weight-watching company, Weight Reducers International, advertises that those who join will lose, on the average, 10 pounds the first two weeks with a standard deviation of 2
Multi stage or Cluster Random sampling Under this method, the random selection is made of primary, intermediate and final units from a given population. The area of investigat
Choose any published database from the internet or Bethel library (such as those from the Census Bureau or any financial sites). You may opt to use one of the data files provided b
Try different numbers of clusters in your program (K=2...15) and build a plot that shows the dependency between number K and value of RSS function on the last iteration. What is th
From the information given, what seems to be the main flaw in each of the following statistical generalisations? (i) Banking industry employees are facing a crisis, if their
limitations of time series analysis
#questionMaximize Z= 3x1 + 2X2 Subject to the constraints: X1+ X2 = 4 X1 - X2 = 2 X1, X2 = 0..
simplified formulae
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