Go Back   English Forum Switzerland > Help & tips > Finance/banking/taxation  
Reply
 
Thread Tools Display Modes
  #1  
Old 06.01.2011, 14:35
nillyBL125's Avatar
Newbie 1st class
 
Join Date: Dec 2009
Location: BL
Posts: 14
Groaned at 0 Times in 0 Posts
Thanked 4 Times in 3 Posts
nillyBL125 has no particular reputation at present
Probability for Finance Lecture Question Help!?

I have an exam within 2 weeks and I couldn't compute the following question. I solved to somewhere but I couldn't continue. I will be sooo happy if anyone can help me..Here comes the question:

Consider a level N binomial model. Let's S1 and S2 be two stocks modeled by this binomial tree. A rainbow option has a payoff at time N given by= max{S1(N),S2(N)}
a)Give an algorithm for an option price at time n.
b)Give an algorithm for S1, S2 and the amounts in replicating portfolio that are invested in S1 (resp.S2)
Thanks a million
__________________
Nilly
Reply With Quote
  #2  
Old 06.01.2011, 15:19
Member
 
Join Date: Aug 2007
Location: Zurich
Posts: 111
Groaned at 2 Times in 1 Post
Thanked 18 Times in 12 Posts
asdfasdf has made some interesting contributions
Re: Probability for Finance Lecture Question Help!?

I'm a tad too lazy right now to actually solve the question, but it'a a binomial option pricing model
Reply With Quote
Reply

Tags
finance, mathematics, probability, question




Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)
 
Thread Tools
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off
Trackbacks are Off
Pingbacks are Off
Refbacks are Off


Similar Threads
Thread Thread Starter Forum Replies Last Post
Probability of finding an intellectually stimulating job if you have children Rangatiranui Employment 54 27.04.2011 21:36
Finance/Accounting Laura Heselton Employment 0 04.11.2009 13:49
The Global Economic Crisis Lecture dreyfalex Social events 0 22.04.2009 10:43
Student Loan question for all the Finance whizkids kiwiguy08 Finance/banking/taxation 2 13.08.2008 11:23
probability of wife getting a job vagrant Employment 6 22.02.2007 22:39


All times are GMT +2. The time now is 02:52.


Powered by vBulletin® Version 3.8.4
Copyright ©2000 - 2022, Jelsoft Enterprises Ltd.
LinkBacks Enabled by vBSEO 3.1.0