Illustrates an example of complete and incomplete markets
Illustrates an example of complete and incomplete markets?
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The classic example is replicating an equity option, a call, say, by continuously buying or selling the equity so that you always hold the amount
Δ = e-D(T - t)N(d1).
With in the stock as:
Explain the Jump-diffusion models in an option-pricing.
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How is the risk into portfolio measured in Crash Metrics?
Define back-to-back loan. A back-to-back loan involves two parties only. One MNC borrows and re-lends directly to another.
Explain the argued of Eugene Fama regarding excess return.
Suppose current settlement price on a CME DM futures contract is $0.6080/DM. You contain a long position in futures contract. Presently your margin account contain a balance of $1,700. The next three days' settlement prices are $0.6066, $0.6073, & $0.598
Who proposed a scientific foundation for Brownian motion?
Can I employ real probabilities for pricing derivatives? Answer: Yes you can. But you may require moving away from classical quantitative finance.
At the beginning of the year of 1996, the yearly interest rate was 6 percent in the United States and 2.8 percent in Japan. At the time the exchange rate was 95 yen per dollar. Mr. Jorus, the manager of a Bermuda-based hedge fund, thought that the substantial
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