Matlab
Matlab
6th Edition
ISBN: 9781119299257
Author: Amos Gilat
Publisher: WILEY CONS
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Chapter 3, Problem 34P

Solve the following system of six linear equations:

2 a 4 b + 5 c 3.5 d + l . 8e + 4f = 52 . 52 1.5 a + 3 b + 4 c d 2 e + 5 f   = 21 . 1 5 a + b 6 c + 3 d 2 e + 2 f   = 27 . 6 1.2 a 2 b + 3 c + 4 d e + 4 f = 9.16 4 a + b 2 c 3 d 4 e + 1.5 f = 17 . 9 3 a + b c + 4 c 1 2 e 4 f = 16 . 2

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Please solving problem2 Problem1 We consider a two-period binomial model with the following properties: each period lastsone (1) year and the current stock price is S0 = 4. On each period, the stock price doubleswhen it moves up and is reduced by half when it moves down. The annual interest rateon the money market is 25%. (This model is the same as in Prob. 1 of HW#2).We consider four options on this market:ˆ A European call option with maturity T = 2 years and strike price K = 5;ˆ A European put option with maturity T = 2 years and strike price K = 5;ˆ An American call option with maturity T = 2 years and strike price K = 5;ˆ An American put option with maturity T = 2 years and strike price K = 5.(a) Find the price at time 0 of both European options.(b) Find the price at time 0 of both American options. Compare your results with (a)and comment.(c) For each of the American options, describe the optimal exercising strategy.
Problem 1.We consider a two-period binomial model with the following properties: each period lastsone (1) year and the current stock price is S0 = 4. On each period, the stock price doubleswhen it moves up and is reduced by half when it moves down. The annual interest rateon the money market is 25%.  We consider four options on this market:ˆ A European call option with maturity T = 2 years and strike price K = 5;ˆ A European put option with maturity T = 2 years and strike price K = 5;ˆ An American call option with maturity T = 2 years and strike price K = 5;ˆ An American put option with maturity T = 2 years and strike price K = 5.(a) Find the price at time 0 of both European options.(b) Find the price at time 0 of both American options. Compare your results with (a)and comment.(c) For each of the American options, describe the optimal exercising strategy.(d) We assume that you sell the American put to a market participant A for the pricefound in (b). Explain how you act on the market…
What is the standard scores associated to the left of z is 0.1446

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