binomial-model

Hi! On last FRM exam, there was a question like: Portfolio of 68 bond equally weighted, each 2 million worth. 6 defaults were expected and defaults were independent. What is 95% Credit VaR? The answer I have found was: 6*2 - 2*68*0.04 = 6.56mil I suppose the binomial model is used here but...

In a two period binomial model, and assume that the option being valued is 6 months, with std deviation is 8 percent. For the initial up factor calculation the formula is Exp 0.08 srt .025. My question is why was time not calculated as .5, as this a 6 month call option? The up factor period...

Learning objectives: Explain how the binomial model can be altered to price options on: ... currencies, and futures. Define and calculate delta of a stock option. Questions: 813.1. Below is illustrated the two-step binomial tree implied by the following assumptions for a six-month put option...

Learning objectives: Describe how the value calculated using a binomial model converges as time periods are added. Explain how the binomial model can be altered to price options on: stocks with dividends and stock indices. Questions: 812.1. The NASDAQ-100 stock index is currently 7,300.0 and...

Hi David, I'm trying to answer the practice questions regarding the topic and I can't understand why my unswer is wrong (the spreadsheet that supose to be attached to these answers is not valid any more) can help me with the solution path, for the following question, please? I followed the...