Let t = 1. What is E(St | St < $98)? What is E(St | St <

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Let t = 1. What is E(St | St < $98)? What is E(St | St < $120)? How do both expectations change when you vary t from 0.05 to 5? Let σ = 0.1. Does either answer change? How?

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:13 AM

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Let t = 1. What is E(St |St < $98)? What is E(St |St < $120)? How do both expectations change when you vary t from 0.05 to 5? Let = 0.1. Does either answer change? How?
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Let t = 1. What is E(St | St < $98)? What is E(St | St <

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Using equation 1828 E S 1 S 1 98 100 e 008 N 0484 N 0184 7971 Similarly E S 1 S ...View the full answer

Derivatives Markets

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