G******r
发帖数: 76 | 1 有几道题不是很清楚，希望版上大牛指教
题目具体细节记不清了。
1. Two boxes, each one has 5 matches, one pick up match randomly from these
two boxes, what is the probability that at the moment you find one box is
empty, the other one has exactly 2 matches left?
2. Run a regression Y against X, the coefficient is determined as beta, some
known number (0.8?), what is the regression coefficient when one run
another regression X against Y? (X,Y are historical returns of two companies
from similar industry)
3. Given four discrete path of stock prices, which one will maximize the
option value? (S1: 100 98 100 98 100; S2: 100 98 96 .....S3: 100 90 80 70..
S4:...) (I couldn't remember these numbers correctly, just look for some
general suggestion on this kind of problem.)
Thanks! | p********6
发帖数: 1802 | 2 1.
2*c(1,5)*c(2,5)/c(3,10)
2.
0.8
3.
可能考虑的是volatility吧
these
some
companies
【在 G******r 的大作中提到】
: 有几道题不是很清楚，希望版上大牛指教
: 题目具体细节记不清了。
: 1. Two boxes, each one has 5 matches, one pick up match randomly from these
: two boxes, what is the probability that at the moment you find one box is
: empty, the other one has exactly 2 matches left?
: 2. Run a regression Y against X, the coefficient is determined as beta, some
: known number (0.8?), what is the regression coefficient when one run
: another regression X against Y? (X,Y are historical returns of two companies
: from similar industry)
: 3. Given four discrete path of stock prices, which one will maximize the
| O******y
发帖数: 110 | | z******o
发帖数: 1224 | 4 。。。（2）。。。估计答案又是0.8 。。。
e.g.
a = (1,2)
b = (2,4)
regress a on b (no inct.): slope = 0.5
regress b on a (no inct.): slope = 2
a和b standardize以后，slope才都是1 | C***m
发帖数: 120 | 5 楼主好人。
我算的答案，和上面都不太一样。。。
1. (C(10,5)-2*C(8,4)/C(10,5))
2. \alpha*\beta<=1 so \alpha<=1.25
3. 请问是什么样的option? European option还是Asian option? 谢谢 | z******o
发帖数: 1224 | 6 haha, 题2我一直以为是想考projection和correlation间的联系，原来在考cauchy-
schwarz。。。严格一点吧，应该是range (0,1.25]
【在 C***m 的大作中提到】
: 楼主好人。
: 我算的答案，和上面都不太一样。。。
: 1. (C(10,5)-2*C(8,4)/C(10,5))
: 2. \alpha*\beta<=1 so \alpha<=1.25
: 3. 请问是什么样的option? European option还是Asian option? 谢谢
| a*s
发帖数: 425 | 7 第一题，应该用binormial distribution算吧
设定其中一个盒子是a，
拿8次，5次从a盒拿
these
some
companies
【在 G******r 的大作中提到】
: 有几道题不是很清楚，希望版上大牛指教
: 题目具体细节记不清了。
: 1. Two boxes, each one has 5 matches, one pick up match randomly from these
: two boxes, what is the probability that at the moment you find one box is
: empty, the other one has exactly 2 matches left?
: 2. Run a regression Y against X, the coefficient is determined as beta, some
: known number (0.8?), what is the regression coefficient when one run
: another regression X against Y? (X,Y are historical returns of two companies
: from similar industry)
: 3. Given four discrete path of stock prices, which one will maximize the
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