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there is no additional data. thats all Contingent Claims Assignment Please show work for partial credit. Suppose that we can describe the world using two
there is no additional data. thats all
Contingent Claims Assignment Please show work for partial credit. Suppose that we can describe the world using two states and that two assets are available, asset K an asset L. We assume the asset's future prices have the following distribution State Future Price Asset K Future Price Asset L 1 $55 $60 2 $45 $30 The current price of asset K is $50, and the current price of asset L is $50. 1. What are the values of the unit claims (C and C)? 2. What is the risk free rate implied by these assets? 3. What is the "risk neutral probability" of state 1? What is the "risk neutral probability of state 2? 4. What is the price implied for an asset providing $100 in state 1 and $50 in state 2? Contingent Claims Assignment Please show work for partial credit. Suppose that we can describe the world using two states and that two assets are available, asset K an asset L. We assume the asset's future prices have the following distribution State Future Price Asset K Future Price Asset L 1 $55 $60 2 $45 $30 The current price of asset K is $50, and the current price of asset L is $50. 1. What are the values of the unit claims (C and C)? 2. What is the risk free rate implied by these assets? 3. What is the "risk neutral probability" of state 1? What is the "risk neutral probability of state 2? 4. What is the price implied for an asset providing $100 in state 1 and $50 in state 2 Step by Step Solution
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