Tag Info

Hot answers tagged


Many of the strategies are motivated by objective functions (contour integrals) in the complex plane and the elements of complex linear spaces, so I'd recommend at least for an applied understanding: Saff, E. B., and Snider, A. D. Fundamentals of Complex Analysis with Applications to Engineering, Science and Mathematics. In addition to Saff and Snider, I ...


I have heard good things about Epps but haven't read it. Hull is aimed at less technical people and can get a bit turgid. I have my list of recommended books with discussion at http://www.markjoshi.com/RecommendedBooks.html


You can find the solution here: http://www.wiley.com/legacy/wileychi/pwiqf2/supp/c02.pdf For all solutions see my answer here: http://quant.stackexchange.com/a/16061/12


Let's think about it like this: $V(E,T) = \int_E^{\infty} (x-E)^{+} \rho (x) dx$ Then $\frac{\partial C}{\partial E} = \int^\infty_E \rho(x) dx$ and $\frac{\partial^2 C}{\partial K^2} = \rho(K)$ Ill leave you to interpret these quantities. Hint, what is the defintion of the value of a contingent claim?

Only top voted, non community-wiki answers of a minimum length are eligible