Mathematics, 29.08.2019 19:30 NEUROPHARMACOLOGICAL
assume a security follows a geometric brownian motion with volatility parameter σ = 0.2. assume the initial price of the security is 21 and the interest rate is 0. it is known that the price of a down-and-in barrier option and a down-and-out barrier option with strike price 19 and expiration 30 days have equal risk-neutral prices. compute this common risk-neutral price.
note time in years (or 252 trading days). so expiration is 30/252 yrs.
Answers: 2
Mathematics, 21.06.2019 20:30, lcy1086526Lisa1026
25) 56(1) = 5b a. identity property of addition b. identity property of multiplication c. commutative property of multiplication d. commutative property of addition
Answers: 1
assume a security follows a geometric brownian motion with volatility parameter σ = 0.2. assume the...
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