Let r = 0.08, S = $100, = 0, and = 0.30. Using the risk-neutral

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Let r = 0.08, S = $100, δ = 0, and σ = 0.30. Using the risk-neutral distribution, simulate 1/S1. What is E(1/S1)? Compute forward price for a contract paying 1/S1?

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:51 AM

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Let r = 0.08, S = $100, = 0, and = 0.30. Using the risk-neutral

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Derivatives Markets

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