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the price of a bond at time t measured in terms of its yield is gyt assume geometric brownian motion for the forward
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show that when w hg and h and g are each dependent on n wiener processes the ith component of the volatility of w is
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consider the case of mertons jump-diffusion model where jumps always reduce the asset price to zero assume that the
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suppose that the risk-free zero curve is flat at 6 per annum with continuous compounding and that defaults can occur at
1 assume that the default probability for a company in a year conditional on no earlier defaults is lambda and the
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the text derives a decomposition of a particular type of chooser option into a call maturing at time t2nbspand a put
1 suppose that the strike price of an american call option on a non-dividend-paying stock grows at rate g show that if
1 if a stock price follows geometric brownian motion what process does at follow where at is the arithmetic average
1 is a european down-and-out option on an asset worth the same as a european downand-out option on the assets futures
1 does a floating lookback call become more valuable or less valuable as we increase the frequency with which we
1 explain why a regular european call option is the sum of a down-and-out european call and a down-and-in european call
in a 3-month down-and-out call option on silver futures the strike price is 20 per ounce and the barrier is 18 the
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use derivagem to calculate the value ofa a regular european call option on a non-dividend-paying stock where the stock