S^a Flashcards

1
Q

What is the expected value of S(T)a ?

E[S(T)a] =

A

E[S(T)a​] = [S(t)a]ea(α-δ) + 0.5a(a-1)σ^2

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

What is the forward price of [S(T)a]?

Ft,T[S(T)a] =

A

Ft,T[S(T)a​] = [S(T)a]ea(r-δ) + 0.5a(a-1)σ^2

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

What is the yield on the derivative of S(T)a?

δ* =

A

δ* = r - a(r - δ) - 0.5a(a - 1)σ2

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

What is the return on the option of S(T)a?

γ =

A

γ = a(α - r) + r

How well did you know this?
1
Not at all
2
3
4
5
Perfectly