Separate names with a comma.
I think both of these points are points of possible ambiguity, as has been witnessed in past papers. My advice would be to do something sensible...
Yes, that sounds sensible but careful not to fixate on mu being a thing. I don't think you are but, just in case, recall this thread......
Can you be more specific? Your post is not a million miles away from "Please teach me the course material from scratch" What have you done so far...
Yes, this is a nice summary
This is the kind of problem you can get if you try to apply a set equation as THE method for doing something, when it’s really the logic behind...
There are ALWAYS two portfolios with these. Portfolio A is always... a) one long forward and b) cash Ke^-rT This is guaranteed to deliver one...
Hi Ray, Can you please post these questions separately? Cheers, John
Yes, this is all fine. You will get different answers depending on the units you use. In fact, because the Lagrangian function is a mixture of...
I think your approach is going to work, you just need to adjust your drifts. mu = r, good but then this drift needs adjusting to r - 0.5*sigma^2...
The interpretation of S15 Q5(iii)(b) that is consistent with the Course Notes is to think that there’s a 95% chance that the value of the...
The situation is entirely analogous to being asked to solve a quadratic by using THE quadratic formula (an ill defined question in itself if we...
It's often the case that our ASET solutions provide the necessary explanation and detail that is sometimes missing from the Examiners' solutions....
Should be exact. I just checked in Excel and all 3 portfolios have a value of 1.06215001. You need to discount the cash and you've got the signs...
All of this sounds extremely good. Particularly pleased to hear about the proactiveness in your investigative approach - it's how we learn maths,...
I've corrected the mistake for adding the underlying to achieve a slope with puts
