b********r
发帖数: 273 | 1 For all examples assume a cash dividend paying stock with the following s.d.
e between cash dividend payments.
ds/s = rdt + sigma*dw
where r = riskless rate , sigma = volatility, dw = Brownian motion
1. What is the value today (t) of a contract that at some maturity (T) pays
the inverse of the stock price observed at the maturity?
a) How would this contract be hedged? Explain any drawbacks of the method
you choose.
b) How would you explain your theoretical price to a junior trader who
ass | s*****w
发帖数: 1527 | 2 请问第7，8题是什么答案？不完全理解
d.
pays
method
【在 b********r 的大作中提到】
: For all examples assume a cash dividend paying stock with the following s.d.
: e between cash dividend payments.
: ds/s = rdt + sigma*dw
: where r = riskless rate , sigma = volatility, dw = Brownian motion
: 1. What is the value today (t) of a contract that at some maturity (T) pays
: the inverse of the stock price observed at the maturity?
: a) How would this contract be hedged? Explain any drawbacks of the method
: you choose.
: b) How would you explain your theoretical price to a junior trader who
: ass
| b***k
发帖数: 2673 | 3 your title name is not funny at all.
I changed it.
Pls don't do it like this again.
【在 s*****w 的大作中提到】
: 请问第7，8题是什么答案？不完全理解
:
: d.
: pays
: method
|
|
