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Operations Research Finance Homework
Consider a market where you can trade 3 shares and cash. The price of the shares at the beginning are 100 and their price is based on the following formula:
Sit+1 = 0.5 · 100 + 0.5 · Sit + ξi - exp(2.5)
where ξ is a lognormal distribution with parameters (2; 1)
Consider the following derivative: The issuer agrees to exchange one Share 1 to one Share 2 at their maturity date if the contracting party so requests. First let's look at the process for only one period. Let there be 100 branches. (decision trees). What is the price of the derivative? Could the derivative be cheaper?
Let there be 1000, 10000, 100000 branches. What is the price of the derivative? Let's look at the process for 2 periods. Let there be 100x100 branches. What is the price of the derivative now?
Let's look at the process for 3 periods. Let here be n branches in every time period. How does the price of the derivative change? For what n can we solve the problem?
Compute the linear programming problems. The linear program Max 3X1 + 2X2 is solved subject to the constraints i) X1 + X2 =
Develop an ititial feasible solution using the northwest corner mehthod. Compute the total cost for this solution
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The school board is trying to evaluate a new math program introduced to second-graders in five elementary schools across the county this year. Construct a c-chart for test errors, and set the control limits to contain 99.73% of the random variation..
What advantages do computer applications that solve LP problems have. Find at least one computer application, other than Excel's Solver of course that solves LP problems.
problem 1 dr. now is an assistant professor at university of somewhere. aside from his work related to the university
Assuming that the cost of stockout is the lost contribution of one dessert, how many portions of Sweet Revenge should the chef prepare each weekday?
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Why might a person wish to be involved with a critical path activity? What are some of the reasons one might have for not wanting this type of association?
Describe a project that you were involved with, or are familiar with, and the types of risks (at least 5) that occurred. How were these risks handled or mitigated?
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