What is a Jump-Diffusion Model in Poisson Process
What is a Jump-Diffusion Model in Poisson Process?
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Jump-diffusion models join the continuous Brownian motion saw in Black–Scholes models or the diffusion with prices which are permitted to jump discontinuously. The timing of the jump is generally random, and it is represented by a Poisson process.
Explain an example of superhedging.
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If Fiat ADRs were trading at $35 while the underlying shares were trading in Milan at EUR31.90, what could you do to make a trading profit? Employ the information in problem 1, above, to help you and suppose that transaction costs are negligible.
Describe long position in a futures (or forward) contract?A futures (or forward) contract is a vehicle for purchasing or selling a stated amount of foreign exchange at a stated price per unit at a particular time in the future. If the long hold
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Explain the programme of study of Monte Carlo method.
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Define the term Hedging using implied volatility?
Explain degree of confidence and the relationship along with deviation.
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