Solutions fundamentals of futures and options markets 7e by hull chapter 20

9 39 0
  • Loading ...
1/9 trang

Thông tin tài liệu

Ngày đăng: 28/02/2018, 13:38

... 63, 220 = $7, 438 Problem 20. 26 Consider a portfolio of options on a single asset Suppose that the delta of the portfolio is 12, the value of the asset is $10, and the daily volatility of the... prices of the assets at close of trading yesterday were $20 and $40, and the estimate of the coefficient of correlation between the returns on the two assets made at close of trading yesterday was... current estimate of the covariance is 0.25 × 0.016 × 0.025 = 0.0001 b) If the prices of the assets at close of trading today are $20. 5 and $40.5, the returns are 0.5 / 20 = 0.025 and 0.5 / 40 =
- Xem thêm -

Xem thêm: Solutions fundamentals of futures and options markets 7e by hull chapter 20 , Solutions fundamentals of futures and options markets 7e by hull chapter 20

Gợi ý tài liệu liên quan cho bạn

Nhận lời giải ngay chưa đến 10 phút Đăng bài tập ngay