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Short-Term Actuarial Math Old Exam C Forum

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  #91  
Old 09-10-2007, 08:07 AM
sam_broverman sam_broverman is offline
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Default September 10, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/sep10-07c.pdf


Sam Broverman
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  #92  
Old 09-17-2007, 10:32 AM
sam_broverman sam_broverman is offline
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Default September 17, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/sep17-07c.pdf


Sam Broverman
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  #93  
Old 09-24-2007, 09:38 AM
sam_broverman sam_broverman is offline
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Default September 24, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/sep24-07c.pdf


Sam Broverman
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  #94  
Old 10-01-2007, 11:05 AM
sam_broverman sam_broverman is offline
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Default October 1, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/oct1-07c.pdf


Sam Broverman
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  #95  
Old 10-08-2007, 07:12 PM
sam_broverman sam_broverman is offline
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Default October 8, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/oct8-07c.pdf


Sam Broverman
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  #96  
Old 10-16-2007, 06:29 PM
sam_broverman sam_broverman is offline
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Default Octboerr 15, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/oct15-07c.pdf


Sam Broverman
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  #97  
Old 10-22-2007, 06:11 PM
sam_broverman sam_broverman is offline
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Default October 22, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/oct22-07c.pdf


Sam Broverman
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  #98  
Old 10-22-2007, 06:42 PM
GoBolts GoBolts is offline
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Default

Quote:
Originally Posted by sam_broverman View Post
You can find the question at:
http://www.sambroverman.com/cqw/may7-07c.pdf


Sam Broverman
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I have a question with regard to this one. Usually when we do a monte carlo valuation of a european call option we would use r, the risk free rate as the return in the

S=(S)e^(alpha-delta-.5 sigma^2)T+(sigma) (root T) (Z) equation. How come we wouldn't use the alpha calculated from the expected value? Also, please confirm that this was an example of the application of equation 18.22 on p597 of the McDonald book. (ie, So if this would have said the expected median price at t=1, then we wouls have used the next equation down on that page?

Thanks for your help.
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  #99  
Old 10-22-2007, 11:20 PM
MissionFCAS MissionFCAS is offline
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Quote:
Originally Posted by sam_broverman View Post
You can find the question at:
http://www.sambroverman.com/cqw/sep17-07c.pdf


Sam Broverman
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Could you please elaborate on how you arrived at point no 4 in the solution. Isnt the probability of X>y1 equal to (1-s1/r1)?

Thanks
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  #100  
Old 10-23-2007, 04:06 PM
sam_broverman sam_broverman is offline
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GoBolts,

The idea behind the may 7/07 question was
the same as that behind #19 on the May Exam C.
It uses the model in Equation 18.20 on page 596
of McDonald, and the expected stock price after one
year is S0 e^alpha .

SB
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