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This exercise deals with obtaining martingales. Suppose Xt is a geometric process with drift μ and diffusion parameter σ.(a) When would the e-rt Xt be a martingale? That is, when would the following equality hold.(b) More precisely, remember from the previous derivation that Or, again, Which selection of μ would make e-rt Xt a martingale? Would μ = rwork?(c) How about μ = r + σ2?(d) now try:μ = r - ½ σ2.Note that each one of these selections defines a different distribution for the e-rtXt
You own a portfolio that is 38 percent invested in Stock X, 22 percent in Stock Y, and 40 percent in Stock Z. The expected returns on these three stocks are 10 percent, 15 percent, and 12 percent, respectively. What is the expected return on the p..
Amazon Discrimination II Planet of the Apes isn't the only DVD that has different prices at different times. Recently, on-line shoppers logged onto the DVD Talk Forum, a chat room dedicated to discussions about DVDs.
What positions you need to take in each of the options to create a bullish call spread? Bearish call spread? Describe the payoffs at various stock prices with a set of equations or table, for each strategy. Show all work.
saft corporation wants to obtain 4 million in its first public issue of common stock. after the issuance the total
you are the senior financial analyst at a mid-sized manufacturing firm in the chicago area. your supervisor the vp of
What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Round your answer to the nearest cent.
The phase of accounting concerned with providing information to managers for use in planning and controlling operations and in decision making is called:
Consider Mark and Jen's income and deductions for the 2011 tax year
Various studies indicate that approximately 11% of the world's population is left handed. You think this number is actually higher. You take an SRS of 212 people and find that 27 of them are left handed. Test your claim at the 5% significance leve..
a put option and a call option with an exercise price of 80 and five months to expiration sell for 2.05 and 4.80
What does the treasury yield curve say about the expectation of interest rates in the future? What does it say about inflation? How does it compare to the yield curve a month ago? A year ago? look at the yield curve from november 20, 2006. What was t..
The total fee to refinance your loan is $15,000, when you include all the various costs of refinancing. Should you refinance the remaining balance for the remaining 20 years? How much would you save/lose if you decided to refinance?
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