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Options_2016-04-05_T L.pdf

options_2016-04-05_TL.pdf
Preview of options_2016-04-05_T L
🔗 Source: ftek.se
📊 Size: 157 KB
📄 Pages: 4 pages
⬇️ Downloads: 185

Summary

The exam consists of 3 questions on options and mathematics. Question 1 asks to show that a market is arbitrage-free if and only if d < r < u and to compute the expectation of S(N) in the probability p and in the risk-neutral probability. Question 2 is about the Black-Scholes price of a European derivative and the probability of positive return for a constant portfolio. Question 3 is about a compound option, specifically a call on a put, in a 2-period binomial model, and asks to compute the initial price of the call on the put and the expected return for the owner.

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Description

The exam consists of 3 questions on options and mathematics.

Technical Information

  • File Format: PDF
  • File Size: 157 KB
  • Pages: 4
  • Language: EN
  • Total Downloads: 185
  • Last Updated: 2 weeks ago

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