Explain the features of Brownian motion
Explain the features of Brownian motion.
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Brownian motion is a very simple yet very rich process, very useful for representing many random processes particularly those in finance. Its simplicity permits calculations and analysis which would not be possible with other processes.
When we can use Monte Carlo numerical method?
Explain how portfolio’s value for realization calculated? Give an example.
The discussion of zero-coupon bonds in the text gave an instance of two zero-coupon bonds issued through Commerzbank. The DM300, 000,000 issues due in the year of 1995 sold at 50 percent of face value and the DM300, 000,000 due in the year of 2000 sold a
What is Coherent Measure?
Question1) Why is money demanded? Explain how Keynesian approach different from the classical approach in this regard?
Why should we assume a deterministic stock price path for an equity option? Answer: Because the forward rate curve is not uniquely determined through the finite set
You need to price a European, non-path-dependent contract upon a basket of equities. Which numerical method should you use?
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What is backward equation?
What are the ways to build-up the volatility effect in an option-pricing?
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