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r****o
发帖数: 27 | 2 What term should be added to x^2-4/3 so that the result is a perfect square
trinomial ?
这道题是不是无解啊？我不知道我做的对不对，请帮忙看看。谢谢。 |
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n****w
发帖数: 156 | 3 而只需要用binomial tree在一般的model下
有何本质区别？ |
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T*******t
发帖数: 9274 | 4 mean reversion for rates, no need for equities
one more degree of freedom |
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n****w
发帖数: 156 | 5 为什么Black-Derman-Toy 也用binomial tree呢 |
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n****8
发帖数: 23 | 7 Can also use binomial tree on HW |
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c****6
发帖数: 22 | 8 如果我用trinomial tree来price一个欧式coupon bond option,
假设exercise时间是 X，那我的树节点在X的时候是否
需要把coupon加进来后再算 X 时刻的 exercise price ？ |
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d*******n
发帖数: 524 | 9 coupon bond 也分欧式美式？
另外， 用trinomial tree来price bond，你的underlying asset price是什么？
我是新手，问题可能比较弱, 不好意思 |
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A*L
发帖数: 2357 | 10 如果是用在option上面，
binomial或者是trinomial都是来generate path的，因为asian, american option都要
看历史而不只是当前。
mc可以用来generate path吧。
euro option用bs做就是最普通的，用上面的也都可以。
粗浅认识
前者要做experiment sampling,后者好像直接带公式就可以了，什么时候用到MONTE
CARLO
谁能再细致地讲讲 |
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b**********5
发帖数: 51 | 11 1. Which method is the best to price the long-term American put option?
Lattice Models – Binomial/Trinomial Tree (can adjust the change of interest
rate and dividend payments at the nodes). And how to use the Binomial Tree
model (elaborate the whole process of pricing using Binomial Tree model)?
2. For no matter what kinds of reasons we can’t price the one-year American
put. Here we have the prices of 1-month, 3-month, 6 month and 1-year
European put options. Should the price of the one-year Ame |
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a***r
发帖数: 146 | 12 Today's price is $110 tomorrow could be 110, 100 or 0
interest rate=0
can we price the call option with $100 striking price?
what if tomorrow could be 110(99% chance), 100(0.5%) or 0(0.5%)
can we price the option? |
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f******y
发帖数: 2971 | 13 nobody want to answer this one?
I think both of them are $10. |
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p*****k
发帖数: 318 | 15 finalguy, $10 would be the upper bound. note unless
it's doomed to be $110, something worth at most $10 tmr
cannot be $10 today (with the interest rate=0)
it's an incomplete market, so you could only get a price
range due to different risk-neutral measures. since the
final payoff is either 10 or 0, the range of the price is
simply [0,10]
i guess for (2), due to the equivalent measure constraint,
one gets (0,10) |
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b***k
发帖数: 2673 | 16 should it be in a range of [0,5]? |
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j****i
发帖数: 305 | 17 Why it's an incomplete market? Could you explain your thoughts in detail? |
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s*******u
发帖数: 35 | 18 The risk neutral measure is unique in this situation: 110 with prob 1 and
others 0; So we can price it. |
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r******o
发帖数: 1530 | 19 can't price it, you have more states ( 3 ) than the number of securities ( 2
), you can't replicate the option, need a third asset in order to do that. |
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p*****k
发帖数: 318 | 20 sorry, had been posting things nonsensical late last night:P
the price range should be [0,100/11].
the risk neutral measure gives:
110*p1+100*p2+0*p3=100 (stock price would be martingale)
p1+p2+p3=1,
hence p3=p1/10 and p2=1-11/10*p1, which results the bound
0<=p1<=10/11.
then note the call price is (110-100)*p1+0*(p2+p3)=10*p1
with the given physical prob, then p1 or p2 cannot be 0
due to the equivalence of the prob measures, so (0,100/11) |
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s*******u
发帖数: 35 | 21 pcasnik, if today's price is 100, you are right. but here the price is 110
to start from. So we actually have p1=1, p2=p3=0. Of course, this stock
does not make too much sense. But purely from pricing point of view, this
means we can price it. |
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p*****k
发帖数: 318 | 22 salientxu, thx for the correction.
however, pricing the call as 10 would result arbitrage...
as you already pointed out, i guess shorting the stock is
an arbitrage in the first place |
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M*****y
发帖数: 666 | 23 actually, if call is not priced at 10, then there is arbitrage!
S - K = 10 = c - p. so c must be >= 10
there is no arbitrage if 100% S tomorrow is 110 as in risk neutral measure.
remember, as it is called derivative, any profit opportunity of underlining
shall not influence the price of derivative. |
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p*****k
发帖数: 318 | 24 MsPiggy, im probably saying something stupid again:
if the call is priced at 10, the arbitrage i had in mind is
to short 1 stock, long 1 call and deposit the rest of 100
into the bank account.
seems the nonzero prob of the stock being 0 tmr results
the arbitrage, no? |
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m*********g
发帖数: 646 | 25 1) Let X and Y be two gaussian random variables with N(0,a) and N(0,b),
respectively. X and Y are correlated with correlation \rho.
What is E (X − Y |2X + Y ) ?
2) For American option, when risk free interest rate increase, will it
increase the possibility of early excises?
(related question: When would people early exercise the American put option?
Increase of
interest rate ?)
3) \sum (N from 0 to infinity) N^2*a^N. a = constant
4) Which method is the best to price the long-term American ... 阅读全帖 |
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j*****4
发帖数: 292 | 26 1) bucket sorting
2) St.Peterberg problem
3) Kelly criterion
4) OLS and relation with std/corr/cov
5) As a market maker, what do you need to consider if one client ask
your quote of FX product.
6) given trading volume of past few days, how to forecast the trading
volume tomorrow
7) How to detect the errors in trading data?
8) ARMA, how to test and how to estimate the order
9) How to test a time series is mean reverting
10) What is Ridge/lasso, why... 阅读全帖 |
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x*****i
发帖数: 287 | 27 第二题难道不是trinomial model？
第一题能否再解释下？为啥spot price 是K=0 时候的？
Thanks |
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R**T
发帖数: 784 | 28 the second question is discussed in Mark Joshi's book
in this trinomial case the risk neutral measure is not unique
the call does not have an unique price
the probability of an upward move can sit anywhere between 0 to 0.5
so the price should be in the 0 to 2.5 range
Thank you for posting the questions! |
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g******e
发帖数: 352 | 29 特别是american option, 大家trading的时候一般都用那种？
1。analytic approximation
2. tree type, binomial/trinomial
3. PDE/FDM
4. NN/Bayesian learning |
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C******n
发帖数: 9204 | 30 据Hull所说用trinomial会好一些？
tree是否可以视为quasi monte carlo？ |
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