b***n
发帖数: 6 | 1 1. Price a derivative with payoff 1/S(T).
2. Up and out put, with barrier H = 100, striked at 100. Current stock price
50, no interest rate. what is the price?
Thanks! |
s********4
发帖数: 38 | 2 2. up and out, stock price到了100就没有payoff了，那这个put不是worthless么？
我的理解对么 |
b***n
发帖数: 6 | 3 如果stock price没到100的话，payoff就不是0啊
【在 s********4 的大作中提到】
: 2. up and out, stock price到了100就没有payoff了，那这个put不是worthless么？
: 我的理解对么
|
b*****d
发帖数: 7166 | 4 第一个stock价格要假设geometric Brownian motion或是其他分布吧，否则没法做。
借贴问一下，怎么搞到面试啊，我找到猎头一问visa基本就没信了。内推吗？
要是在公司网站上自己投吗？ |
b***n
发帖数: 6 | 5 嗯对啊 应该假设GBM的 然后怎么解呢
觉得从学校的career center投简历更有效吧。
【在 b*****d 的大作中提到】
: 第一个stock价格要假设geometric Brownian motion或是其他分布吧，否则没法做。
: 借贴问一下，怎么搞到面试啊，我找到猎头一问visa基本就没信了。内推吗？
: 要是在公司网站上自己投吗？
|
m*****n
发帖数: 3575 | 6 1st answer
spend 1 dollar to buy 1/S0 share of stock, and it will be worth of 1/St
Price = 1/S0 |
p******i
发帖数: 1358 | 7 it becomes ST/S0 isn't it?
【在 m*****n 的大作中提到】
: 1st answer
: spend 1 dollar to buy 1/S0 share of stock, and it will be worth of 1/St
: Price = 1/S0
|
b***n
发帖数: 6 | 8 1. Price a derivative with payoff 1/S(T).
2. Up and out put, with barrier H = 100, striked at 100. Current stock price
50, no interest rate. what is the price?
Thanks! |
s********4
发帖数: 38 | 9 2. up and out, stock price到了100就没有payoff了，那这个put不是worthless么？
我的理解对么 |
b***n
发帖数: 6 | 10 如果stock price没到100的话，payoff就不是0啊
【在 s********4 的大作中提到】
: 2. up and out, stock price到了100就没有payoff了，那这个put不是worthless么？
: 我的理解对么
|
|
|
b*****d
发帖数: 7166 | 11 第一个stock价格要假设geometric Brownian motion或是其他分布吧，否则没法做。
借贴问一下，怎么搞到面试啊，我找到猎头一问visa基本就没信了。内推吗？
要是在公司网站上自己投吗？ |
b***n
发帖数: 6 | 12 嗯对啊 应该假设GBM的 然后怎么解呢
觉得从学校的career center投简历更有效吧。
【在 b*****d 的大作中提到】
: 第一个stock价格要假设geometric Brownian motion或是其他分布吧，否则没法做。
: 借贴问一下，怎么搞到面试啊，我找到猎头一问visa基本就没信了。内推吗？
: 要是在公司网站上自己投吗？
|
m*****n
发帖数: 3575 | 13 1st answer
spend 1 dollar to buy 1/S0 share of stock, and it will be worth of 1/St
Price = 1/S0 |
p******i
发帖数: 1358 | 14 it becomes ST/S0 isn't it?
【在 m*****n 的大作中提到】
: 1st answer
: spend 1 dollar to buy 1/S0 share of stock, and it will be worth of 1/St
: Price = 1/S0
|
m*****n
发帖数: 3575 | 15 Let us change the currency
the dollar as underlying and the share as currency
at time T: $1=1/S(T) share
at time 0: $1=1/S(0) share
at time 0: $exp(-r*T)=exp(-r*T)/S(0) share
since $exp(-r*T) at time 0 is equivalent to $1 at time T
exp(-r*T)/S(0) share is equivalent to 1/S(T) share at time T
the initial value of payoff 1/S(T) share is exp(-r*T)/S(0) share
I know this is not satisfactory to someone who needs to know the initial
value of the payoff of 1/S(T) dollar. But I just figured out this yet. |
s*j
发帖数: 7 | 16
>>>> this is not correct. The number of share should not change.
【在 m*****n 的大作中提到】
: Let us change the currency
: the dollar as underlying and the share as currency
: at time T: $1=1/S(T) share
: at time 0: $1=1/S(0) share
: at time 0: $exp(-r*T)=exp(-r*T)/S(0) share
: since $exp(-r*T) at time 0 is equivalent to $1 at time T
: exp(-r*T)/S(0) share is equivalent to 1/S(T) share at time T
: the initial value of payoff 1/S(T) share is exp(-r*T)/S(0) share
: I know this is not satisfactory to someone who needs to know the initial
: value of the payoff of 1/S(T) dollar. But I just figured out this yet.
|
s*******n
发帖数: 347 | 17 the first one is from John Hull's book
price
【在 b***n 的大作中提到】
: 1. Price a derivative with payoff 1/S(T).
: 2. Up and out put, with barrier H = 100, striked at 100. Current stock price
: 50, no interest rate. what is the price?
: Thanks!
|
a***x
发帖数: 26368 | 18 居然看到这个地名。。。。
【在 s*******n 的大作中提到】
: the first one is from John Hull's book
:
: price
|
