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Exercise: (Binomial and Continuous Model.) Consider a binomial model of a risky asset with the parameters r = 0:06, u = 0:059, d = 0:0562, S0 = 100, T = 1, 4t = 1=12. Note that u and d are monthly e ective rates of return and r is the annual e ective risk-free interest rate.
Determine the price of a European put option with strike price X = 98 on the above non-dividend paying asset at time 0 and nd x(1); y(1), i.e., the number of shares of the stock and risk-free asset needed at time 0 to replicate the European option over the rst time-step.
b. A paper mill produces two grades of paper viz., X and Y. Because of raw material restrictions, it cannot produce more than 400 tons of grade X paper and 300 tons of grade Y
Agreement The degree to which different observers, raters or diagnostic the tests agree on the binary classification. Measures of agreement like that of the kappa coefficient qu
Calculation for Discrete Series or Ungrouped Data The formula for computing mean is = where, f = fr
Show how the Normal bin width rule can be modi ed if f is skewed or kurtotic. Examine the eff ect of bimodality. Compare your rules to Doane's (1976) extensions of Sturges' rule.
Regression Lines It has already been discussed that there are two regression lines and they show mutual relationship between two variable . The regression line Yon X gives th
Year Production 2006 8 2007 6 2008 10 2009 12 2010 11 2011 15 2012 14 2013 16 Determine the trend from data given above?
For each of the following situations choose the statistical model that you find to be the most appropriate. Justify your choice. a) We are interested in assessing the effects of
Analysis of covariance (ANCOVA) It is initially used for an expansion of the analysis of variance which permits to the possible effects of continuous concomitant variables (suc
Simple Regression: The Teacher Preparation Research Team conducted a study of college students who took the Praxis II-a teacher certification examination. Some variables from
When the number of farmers growing wheat in Russia increases, the increase in world supply lowers the world price of wheat. Draw an appropriate diagram to analyze how this chang
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