ASET April 2004 Question 9(i)

Discussion in 'CT8' started by Little Miss Actuary, Mar 15, 2007.

  1. Little Miss Actuary

    Little Miss Actuary Member

    Hi

    ASET April 2004 Question 9(i) Two-period recombining trees

    How do they know d=1/u?

    Thanks in advance. :)
     
    Little Miss Actuary, Mar 15, 2007
    #1
  2. Little Miss Actuary

    Little Miss Actuary Member

    Anyone? Please :D
     
    Little Miss Actuary, Mar 16, 2007
    #2
  3. OneLastTheorem

    OneLastTheorem Member

    Hi LMA

    Not got stuck into ASET yet, sorry.
     
    OneLastTheorem, Mar 16, 2007
    #3
  4. Gareth

    Gareth Member

    The answer lies on page 45 of the formula book :)
     
    Gareth, Mar 16, 2007
    #4
  5. Little Miss Actuary

    Little Miss Actuary Member

    ...and Chapter 11 page 35 for anyone else that might be reading this later.

    Thanks Gareth, you are a star :D We need thanks buttons on this board :D
     
    Little Miss Actuary, Mar 17, 2007
    #5

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