Determine the efficiency of finite differences
Determine the efficiency of finite differences?
Expert
Finite differences are extremely good at coping with low dimensions, and that are the method of choice when you have a contract with embedded decisions. They are excellent for non-linear differential equations.
The time taken to price an option and compute the sensitivities to underlying(s) and time using the explicit finite-difference method will be
O(M ε-1-d/2),
Here M is the no. of different options in the portfolio and we need an accuracy of ε, and d is the no. of dimensions except time. So when we have a non-path-dependent option upon a single underlying so d = 1. Note there that we may require one piece of code per option, therefore M in the above.
Explain Semi-strong form efficiency in Efficient Markets Hypothesis.
Your firm have just issued five year floating-rate notes indexed to six-month U.S. dollar LIBOR plus 1/4%. Describe the amount of first coupon payment your firm will pay per U.S. $1,000 of face value, if six-month LIBOR is at present 7.2%?Solution:
How is a Sharpe ratio maximized? Answer: Choosing the portfolio which maximizes the Sharpe ratio, will provide you the Market Portfolio.
Presently, the spot exchange rate is $1.50/£ and the three-month forward exchange rate is $1.52/£. The interest rate of three month is equal to 8.0% per annum in the U.S. & 5.8% per annum in the U.K. One can borrow as much as $1,500,000 o
Explain The characteristic of perceiver and perceived
according to decision theory approach ,which is the core of management
What is Monte Carlo Simulation?
Explain swap broker ? A swap broker arranges a swap among two counterparties for fee without taking a risk position within the swap.
Elaborate: The increased common stock cash dividend can send a signal to the common stockholders.
Differentiate in brief a defined benefit and a defined contribution pension plan.
18,76,764
1952185 Asked
3,689
Active Tutors
1443004
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!