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 Investment / Financial Markets Old Exam MFE Forum

#281
06-28-2017, 10:26 AM
 kadsura Member CAS Join Date: Oct 2016 Studying for the heck of it Posts: 613

Quote:
 Originally Posted by InTheDark Hey guys, I am feeling confused with the B-S formula for exchange option, if we can choose to exchange X for 2Y, which of the following do we use as volatility? 1.(\sigma_x^2+\sigma_y^2-2\rho\sigma_x\sigma_y)^(1/2) 2.(\sigma_x^2+(2\sigma_y)^2-2\rho\sigma_x(2\sigma_y))^(1/2) What I am thinking about is treating 2Y as a whole, so the volatility is two times the volatility of Y, but I saw the answer is the first one, can anyone explain why? thx.
I'm having hard time to decipher your equations. For what it's worth, this forum can actually parse latex.

My understanding is that volatility is a percentage that does not scale. For example, say a stock of AAPL has volatility of 30%. If you buy 100 shares, the volatility does not become 3000%, it's still 30%.
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#282
06-28-2017, 01:30 PM
 Art_Vandelay Member SOA Join Date: Oct 2013 Location: Birmingham, USA College: AU Favorite beer: bankston 88 Posts: 186

well guys it looks like i'll have a study break tomorrow... for an interview!
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#283
06-28-2017, 05:37 PM
 The Disreputable Dog Member CAS Join Date: Dec 2011 Studying for prelims College: Somersby School Favorite beer: Worldwide Stout Posts: 858

9 days!

Good luck tomorrow, BJB!
#284
06-29-2017, 05:42 PM
 The Disreputable Dog Member CAS Join Date: Dec 2011 Studying for prelims College: Somersby School Favorite beer: Worldwide Stout Posts: 858

days!

I'm not counting anymore. It's too close.
#285
06-29-2017, 05:44 PM
 ToBeAnActuaryOrNotToBe Member SOA Join Date: May 2014 Favorite beer: The ones in red solo cups. Posts: 672

Quote:
 Originally Posted by The Disreputable Dog days! I'm not counting anymore. It's too close.
I'm glad. The countdown was scaring me. My exam is also on a different date.
#286
06-30-2017, 11:38 AM
 jooni Member CAS Join Date: Jan 2017 Posts: 77

I'm going through the SOA 76 for the first time, and I'm having a mini-freak out. I did every problem in the ASM manual, but these are...quite different from what I'm used to. Also, I forgot a lot of stuff haha.

Oh well, good to have this freak out well before my exam date.
#287
06-30-2017, 05:25 PM
 Art_Vandelay Member SOA Join Date: Oct 2013 Location: Birmingham, USA College: AU Favorite beer: bankston 88 Posts: 186

does anyone know if there is a way to view the soa 76 in adapt?
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#288
06-30-2017, 07:14 PM
 iridocyclitis Member SOA Join Date: May 2017 Posts: 149

Quote:
 Originally Posted by jooni I'm going through the SOA 76 for the first time, and I'm having a mini-freak out. I did every problem in the ASM manual, but these are...quite different from what I'm used to. Also, I forgot a lot of stuff haha. Oh well, good to have this freak out well before my exam date.
i felt the same way when i took a look at them a week back
#289
06-30-2017, 10:28 PM
 tkt Member CAS SOA Join Date: Jun 2011 Location: Des Moines College: Drake University Posts: 498

Quote:
 Originally Posted by bjb0016 does anyone know if there is a way to view the soa 76 in adapt?
There is no easy way to do so. Since SOA 76 sample questions are from Section 5 - 13 and there were only a couple of released exams (May 2007 and 2009), you could create a quiz by selecting these sections, and choose "exclusive" for "Use SOA/CAS Questions". You will be able to view SOA 76 sample questions that are still on the current syllabus that way.
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#290
07-01-2017, 11:17 AM
 Cat2014 Member SOA Join Date: Apr 2014 College: University 3rd year Posts: 112

for two non dividend paying stock S and Q, current price S0=50 and Q0=60, one year later 3 outcomes occur to S are 100,100 and 0, while for Q are 90, 70 and 40. Risk free rate is 0.06.
C(Q,60,1) is the price of a 1-year American call option on stock Q with strike 60. Determine C(Q,60,1)? Page 660 ASM
I do not understand the solution that need to include S at all. Can someone help? Thanks

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