What is the value of a one-year option on the maximum of two assets when both assets
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What is the value of a one-year option on the maximum of two assets when both assets are trading at $100 each, their volatilities are 50% and 40%, and the correlation between their returns is −0.30? Both assets pay no dividends. Compare the value against the case where the correlation is positive +0.30. Explain your result intuitively
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The value of the option is octave30134 max2assets 100 100 1 0504 0300 ...View the full answer
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Jonas Araujo
I have recently received the degree of PhD. In Physics by the Universidade Federal do Maranhão after spending a term in Durham University, as I have been awarded a scholarship from a Brazilian mobility program. During my PhD. I have performed research mainly in Theoretical Physics and published works in distinguished Journals (check my ORCID: https://orcid.org/0000-0002-4324-1184).
During my BSc. I have been awarded a scholarship to study for a year in the University of Evansville, where I have worked in detection-analysis of photon correlations in the the Photonics Laboratory. There I was a tutor in Electromagnetism, Classical Mechanics and Calculus for most of that year (2012).
I am very dedicated, honest and a fast learner, but most of all, I value a job well done.
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