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for the weak static replication of a discrete barrier option approximately how many price evaluations will be required
excel assignmentrequirements you will need excel 2007 2010 or 2013 to complete this project you will also need the
let st bt be as in the black-scholes model with st non-dividend paying an option p allows the holder to sell the stock
suppose we have american options a and b and b has half the notional of a but is otherwise identical consider a
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