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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 eective rates of return and r is the annual eective 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.
The file Midterm Data.xls has a tab labeled "National Grid vs. Alcoa" which presents historical price data for two stocks. Using the National Grid price as the X-value and the Al
Multi stage or Cluster Random sampling Under this method, the random selection is made of primary, intermediate and final units from a given population. The area of investigat
limitations of time series analysis
The incidence of occupational disease in an industry is such that the workers have a 20% chance of suffering from it. What is the probability that out of six workers 4 or more will
What is a null hypothesis? ..
Weighted Arithmetic Mean Another aspect to be considered is the importance we assign to each observation. The arithmetic mean as we calculated it so far gives equal
Suppose that before the minimum wage law change, the underlying mean number of part-time employees per Burger King Restaurant in New Jersey was 20.3. It was thought that the increa
Do people of different age groups differ in their response to e-mail messages? A survey by the Cent of the Digital Future of the University of Southern California reported that 70.
1. For each of the following variables: major, graduate GPA, and height: a. Determine whether the variable is categorical or numerical. b. If the variable is numerical, deter
Central Tendency and Dispersion in Statistics: Write a note on the following : i) What is the importance of Measures Of Central Tendency and Dispersion in Statistics ?
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