Suppose that ln(S) and ln(Q) have correlation =0.3 and that S0 = $100, Q0 =$100, r

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Suppose that ln(S) and ln(Q) have correlation ρ =−0.3 and that S0 = $100, Q0 =$100, r = 0.06, σS = 0.4, and σQ = 0.2. Neither stock pays dividends. Use Monte Carlo to find the price today of claims that pay the following:
a. S1 Q1
b. S1/Q1
c. √S1 Q1
d. 1/(S1Q1)
e. S21 Q1
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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