Hi @David Harper CFA FRM
I am trying to figure out when calculating the Discount Factor for 2 year whether I include the Discount Factor from 1 year if I have annual payments? Why would I or would not?
1 = (1+r_2year)*DF_2year +r_2year*DF_1year+ r_2year*DF_6_month
or should be
1 = (1 +...
Hi David,
I read your comment above about Cholecky factorization. Does it mean that we decompose the covariance matrix = A* A^t and we use A to find the correlated "e"?
And is the following link: http://www.math.kent.edu/~reichel/courses/monte.carlo/alt4.7c.pdf a good/enough explanation/answer...
Hi David and everyone,
Delta of a long call option= N(d1) and of a short call= N(-d1)
However, in 19.10:
What is the delta of a short position in 1,000 European call options on silver futures?
The options mature in 8 months, and the futures contract underlying the option matures
in 9 months...
Hi, Could you give me a hint how to prove this equation? Where P stands for put option, not probability. Does it involves proving this equation with integrals, such in the video below or the appendix of the book of John Hull, chapter 14 8th edition or chapter 15 newer edition?
Hi, I have been trying to solve exercise 7.23 from John Hull, edition 10th, but somehow the solution for valuation in terms of bonds and in terms of FRAs is not the same! In John Hull solution only the valuation in terms of FRAs is given which I have the same, but the ones in bonds is not...
@David Harper CFA FRM Thank you very much and sorry for the not looking vertically as you mentioned before! This makes much more sense for me!
Regarding the why American call option is not optimal to be exercised if interest rates are zero? I think the question is without dividend, which as...
Hi @David Harper CFA FRM , question 7.23, when I try to calculate both in terms of bonds and FRAs doesn't not pop out the same solution. Should I post you here the solution to check for errors?
Hi @David Harper CFA FRM thank you for your answer! I found out that I should not read the vertical lines from left to right, because at first sight it seems confusing why upper bound is on the left and the lower bound is on the right. Could you give some logic explanation? Also, could I add up...
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