7. Suppose that ln(S) and ln(Q) have correlation =0.3 and that S0 = $100, Q0 =...
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7. Suppose that ln(S) and ln(Q) have correlation ρ =−0.3 and that S0 = $100, Q0 =
$100, r = 0.06, σS
= 0.4, and σQ
= 0.2. Neither stock pays dividends. Use Monte Carlo to find the price today of claims that pay the following:
a. S1Q1
b. S1/Q1 c.
S1Q1
d. 1/(S1Q1)
e. S2 1Q1
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Related Book For
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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