8. Suppose that ln(S) and ln(Q) have correlation =0.3 and that S(0) = $100, Q(0) =...

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8. Suppose that ln(S) and ln(Q) have correlation ρ =−0.3 and that S(0) = $100, Q(0) = $100, r = 0.06, σS

= 0.4, and σQ

= 0.2. Neither stock pays dividends. Use equation (38) to find the price today of claims that pay

a. SQ

b. S/Q c.

√

d. 1/(SQ)

e. S2Q Compare your answers to the answers you obtained to Problem 7.

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 09:00 AM

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8. Suppose that ln(S) and ln(Q) have correlation =0.3 and that S(0) = $100, Q(0) =...

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Derivatives Markets Pearson New International Edition

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