Complete and incomplete market in term of probabilistics
What is complete market and incomplete market in term of probabilistic?
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In probabilistic terms we can say as in a complete market there a unique martingale measure is exists, but for an incomplete market there are not unique martingale measures. The interpretation of it is that even if options are risky instruments in complete markets we don’t have to identify our own degree of risk aversion to price them.
What is Vomma or Volga in option value?
If Fiat ADRs were trading at $35 while the underlying shares were trading in Milan at EUR31.90, what could you do to make a trading profit? Employ the information in problem 1, above, to help you and suppose that transaction costs are negligible.
Give an example of worst-case scenarios and uncertainty?
Boeing Company is expecting to have EBIT next year of $10 million, with a standard deviation of $5 million. Boeing has $40 million in bonds with coupon of 8%, selling at par, which are being retired at the rate of $3 million annually. Boeing also has 200,000 shares of preferred stock, which pays ann
Explain the term PGARCH as of the GARCH’s family.
What is Vega?
What is Put–Call Parity?
What is Meant by ‘Complete’ and ‘Incomplete’ Markets?
factors of the growth of the margin market in recent years
Example of Girsanov’s Theorem.
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