Marie. P.
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 Dec 20 revised price of a “Cash-or-nothing binary call option” deleted 4 characters in body Dec 20 comment price of a “Cash-or-nothing binary call option” I found that $\mathbb{Q}_t(S_T\geq K)=N(d_2)$, where $\mathbb{Q}$ denotes risk-neutral probability, which should solve part e): The present value is the discounted future payoff, which is just $p$ if $p$ is the probability that $S_T\geq K$. Hence, the current value is $e^{-r(T-t)}\mathbb{Q}_t(S_T\geq K)=e^{-r(T-t)} N(d_2)$ Dec 20 accepted What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers? Dec 20 asked price of a “Cash-or-nothing binary call option” Nov 28 comment What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers? inginvestment.com/idc/groups/public/documents/… Here, for example, I found a value of 4.5% for a senior loan (page5), but it does not say anything on the runtime, the conditions, etc. Nov 28 asked What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers? Oct 3 accepted constructing a minimum variance portfolio Oct 3 awarded Editor Oct 3 revised constructing a minimum variance portfolio added 19 characters in body Oct 3 comment constructing a minimum variance portfolio Okay thanks, but that is not part of the exercise! Let's assume there is no such future! -Marie Oct 3 awarded Scholar Oct 3 accepted Calculate the “ten year zero rate” given two bonds with two prices Oct 3 asked constructing a minimum variance portfolio Sep 18 comment Calculate the “ten year zero rate” given two bonds with two prices I forgot that we always know that $Z=100$. Thank you very much. Sep 17 comment Calculate the “ten year zero rate” given two bonds with two prices Okay, so that confirms my initial thought, but how exactly do you get $\approx 3.57\%$, because I only get a value of $\approx -0.311$ when I type this into Mathematica as follows: $\verb{NSolve[{0.04*Z*Sum[Exp[-y*k], {k, 1, 10}] == 10,70 == Exp[-y*10]*Z},{y, Z}]}$ Does anyone see what I do wrong? Sep 17 awarded Supporter Sep 16 comment Calculate the “ten year zero rate” given two bonds with two prices I'm especially curious now because, when I try to solve this system, I only get $y\approx -0.311$, and I don't think that $y$ should have a negative value here... Sep 16 asked Calculate the “ten year zero rate” given two bonds with two prices Dec 22 comment What are the limits of bond portfolio immunization against interest rate changes? Hello, the article is called "Duration, Convexity, and Time Value" by christensen and Sorensen, taken from The Journal of Portfolio Management, page 58. Dec 22 awarded Student