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  1. M

    P1.T2 Miller, Chapter 3, Practice question 2

    Dear David, Very good point. Thanks a million for your answer!
  2. M

    P1.T2 Miller, Chapter 3, Practice question 2

    Dear BT Forum, My understanding is that for computing COV(X,Y) = E(XY) - E(X)E(Y) we use joint probability density function to determine E(XY) and individual marginal pdf / pmf / to determine E(X) and E(Y). Why in this practice question the joint probability was used to compute E(X) and...
  3. M

    P1.T2. 323.3 Monte Carlo Simulation

    When one applies Ito lemma for logarithmical transformation of price process that follows GBM, one obtains St = So*exp( (mu - sigma^2/2)dt + sigma * dWt). If one further applies Monte Carlo simulation dt is replaced by detla t (i.e. one goes from infinitesimal time steps to larger time steps...
  4. M

    P1.T2.316. Discrete distributions (Topic review)

    Thanks, David. I trust I overlooked it. Thx + Best,
  5. M

    P1.T2. 316.3 Discrete Distribution (Bin Tree) Quetsion

    To me it seems that the answer to question 316.3 provided in materials (15.824%) is totally wrong. In a 12 - step-binomial tree there are 144 ( 12 power 2) states of nature at the end of the last step, with 13 different payoffs (12 +1). Moreover, there are 2 states of nature that can yield the...
  6. M

    P1.T2.316. Discrete distributions (Topic review)

    To me it seems that the answer to question 316.3 provided in materials (15.824%) is totally wrong. In a 12 - step-binomial tree there are 144 ( 12 power 2) states of nature at the end of the last step, with 13 different payoffs (12 +1). Moreover, there are 2 states of nature that can yield the...
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