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12.If the risk-free rate is r and price of a nondividend paying stock grows at rate mwith volatility s, at what rate does a forward price of the stock grow for a forward contract maturing at a future time T.
A.m
B.m−s2/2
C.m−r
D.r−s2/2
A.m
B.m−s2/2
C.m−r
D.r−s2/2
Answer: C
This is the application of Ito’s lemma in Section 14.6.
This is the application of Ito’s lemma in Section 14.6.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015