Consider a double-period security market consisting of a bankaccount with interest rate y= 0.2 and one stock. Let the sample spaceN be given by 2 = {wi, w2, w3} and let the price of the security be givenby6.S(0) = 6,S(1, wr) = S(1, w2) = 8.4, S(1, w3) = 6,S(2, wi) = 11.52, S(2, w2) = 4.32, S(2, w3) = 7.2.%3D%3D%3D(i)Find a martingale measure, and argue that this market hasno arbitrage opportunities and the market is complete.(ii)Consider the Asian put option with exercise time t 2 andstrike price K = 8. Find the fair price of this option (up to 5 decimal%3Dplaces) at times t 0 and t = 1.

In the given problem, we are dealing with a double-period security market. The market consists of a…

Answered: 6. Consider a double-period security…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Captain Holt is 50 years old and he purchases a ten-year endowment insurance with ten annual premiums of $150,000 (not using the equivalence principle). The death benefit of $2,000,000 is paid at the end of year of death. Find the expected loss at issue if his mortality follows De Moivre with w = 100 and v = 0.9.
A weight-loss program wants to test how well their program is working. The company selects a simple random sample of 51 individual that have been using their program for 15 months. For each individual person, the company records the individual's weight when they started the program 15 months ago as an x-value. The subject's current weight is recorded as a y-value. Therefore, a data point such as (205, 190) would be for a specific person and it would indicate that the individual started the program weighing 205 pounds and currently weighs 190 pounds. In other words, they lost 15 pounds. When the company performed a regression analysis, they found a correlation coefficient of r = 0.707. This clearly shows there is strong correlation, which got the company excited. However, when they showed their data to a statistics professor, the professor pointed out that correlation was not the right tool to show that their program was effective. Correlation will NOT show whether or not there is…
5% Coupon 10% Coupon 15% Coupon Average Yield-to-Maturity of 5 Years to Maturity Bonds . 9.01% 9.03% Average Yield-to-Maturity of 8 Years to Maturity Bonds 9.47% . 9.28% I am having trouble finding the missing value for Maturity 5 through linear interpolation. YTM, x = 9.01% + [ (15-10)/(15-5) * (9.03%-x) ] I saw this solution but I have no idea when they got the answer 8.99% from that. Please help
4. Suppose you are given the following information: = 49.6870 – 2.1586X; r2 = 0.9757 (0.7463) (0.12113) df=8 T= (66.578) (-17.821) p-value = (0.000) (0.000) a) Conduct a two tailed hypothesis test that: i) The intercept is 49 and the slope coefficient is -2, use 1% significance. ii) Confirm your deductions to 4(a) (i) using a confidence interval approach b) What does the r2 tell you? c) Perform a hypothesis using r2, such that p=D0, what do you conclude?
The Arrow-Pratt measures of absolute and relative risk aversion respectively describe the willingness of a consumers to risk a fixed amount of wealth or a fixed fraction of their wealth. This problem will demonstrate this by setting up a simple investment problem. Suppose that consumers begin with initial wealth Wo and may buy shares of a risky asset whose payoff per share is given by 2. (1 w/ prob. P, X = 1-1 w/ prob.1– p. Therefore buying { shares of the risky asset yields final wealth W = Wo +X. Suppose that each consumer may buy an unlimited number of shares, and seeks to maximize expected utility of final wealth max E[u(W)]. (a) Expand the consumer's expected utility maximization problem, and find the first order condition. (b) Let Cara be a consumer whose utility function exhibits constant absolute risk aver- sion UA(W) = 1– e-aW Find Cara's optimal number of shares and show that it does not depend on her starting wealth Wo-

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