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show that if interest rates are zero and call option prices are a differentiable function of strike then the derivative
for each of the following pairs of prices of risky 1-year zero-coupon bond s with principal 1 and 1-year riskless
assume the interest rate is zero let s be the price of a non-dividend paying stock a derivative d pays fst at time t
assets a and b are worth 100 today asset a will be worth 110 tomorrow with probability 09 and 90 otherwise asset b will
a stock is worth 100 today there are no interest rates it will be worth one of 90 100 and 110 tomorrow if the call
a stock is worth 100 today there are no interest rates it will be worth one of 85 95 105 and 115 tomorrow give optimal
prove that the price of an american option implied by a tree will always be as much as the price of a european option
prove that the price of a barrier option implied by a tree will always be less than the price of a vanilla option with
a portfolio consisting of a short position in a call option and a long position in a stock is delta-neutral suppose the
suppose were are in a black-sholes world and have a put option on a non-dividend paying stock what effect would a
let an asset follow a brownian motionds mudt sigmadwwith micro and a constant the constant interest rate is r what
using shannons law that the maximum data rate for a standard analog telephone line is approximately 30000 bps with a
four branches of a company are located at mno and p m is north of n at a distance of 4 km p is south of o at a distance
the case investigation undergoes several states in the jones legal investigation services system the case investigation
consider the bond-portfolio problem formulated in section 13 reformulate the problem restricting the bonds available
a liquor company produces and sells two kinds of liquor blended whiskey and bourbon the company purchases intermediate
the candid camera company manufactures three lines of cameras the cub the quickiematic and the vip whose contributions
universal aviation currently is investigating the possibility of branching out from its passenger service into the
the temporary help company must provide secretaries to its clients over the next year on the following estimated
video comp inc a new manufacturer of cathode ray tube crt devices for computer applications is planning to enlarge its
a problem common to many different industries entails lsquolsquotrim losses in cutting rolls of paper textiles foil or
the us supreme court decision of 1954 on de jure segregation of schools and recent decisions denying de facto
time horizon of the tactical planning modeldiscuss each objective of the tactical model how long is the time horizon
segmentation of the tactical modeldiscuss the proposed segmentation of the tactical model what are the functions inputs
analyze the hierarchical nature of the proposed planning system which outputs of the strategic model are transferred to