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suppose we have a forward contract with one year expiry with the additional property that either party can cancel the
the perpetual american call option is a call option that can be exercised at any time in the future and never expires
consider a forward which gives the right and obligation to buy a stock at a fixed price k during a period t1 t2 thus is
suppose two options a and b have the same pay-offs but a is exercisable on all the dates b is and more prove that a is
you are an au bank an investor purchases a call option to buy a us share for 10 us how would you price and hedge this
our quant has given us an implementation of the black-scholes formula for a call option in our spreadsheet bss k r
develop an analytic formula for a trigger fra under a displaceddiffusion model see exercise 138exercises 8a trigger fra
when inventorying old equipment you find a pc that was built in 1994 the computer is in a full-tower case with a large
suppose we take a forward rate f with p the zero-coupon bond with the same payoff time and use f p as numeraire what is
suppose we decide that all the trouble in the bgm model is caused by the non-tradability of the rates and therefore
every three months an inverse floater pays max 2l - k 0tau - l tau where l is the three-month libor rate for the
show that if spot and volatility are uncorrelated then the risk-neutral density of spot can be written as an integral
suppose we have six assets e1 e6 which pay off according to the roll of a fair die if the die roll is equal to the
suppose we wish to price an asian option with n look-at dates with a variance gamma model using monte carlo how many
interest rates are non-negative an asset is worth 100 today and in the future the value is constant except at random
assume the interest rate is zero let s be the price of a non-dividend paying stock a derivative d pays fst at time t
there are no interest rates an asset is worth zero today and goes up or down by 1 each day find the price of a call
dq electronic ballotsone criticism of electronic ballots for elections is that while intuitive for younger voters who
asset a pays i if the stock price over the next year is at some point above 100 asset b pays 1 if the stock price is
let s be the price of a non-dividend-paying stock suppose derivatives a and b pay functions f and g of the stock price
suppose we have a call option on the square of the stock price that is the pay-off is what equation does the price of
what sort of qualitative behaviour does a stock following a process of the formexhibit what qualitative effects do
let an asset follow a brownian motionwith micro and a constant the constant interest rate is r what process does s
suppose a stock follows geometric brownian motion in a blackscholes world develop an expression for the price of an
a stock st follows geometric brownian with time-dependent volatility we have so 100 and r 0 call options struck at 100