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#262




Some problems look so random... like number 9: Consider the BlackScholes framework. A marketmaker, who deltahedges, sells a
threemonth atthemoney European call option on a nondividendpaying stock. You are given: (i) The continuously compounded riskfree interest rate is 10%. (ii) The current stock price is 50. (iii) The current call option delta is 0.61791. (iv) There are 365 days in the year. If, after one day, the marketmaker has zero profit or loss, determine the stock price move over the day. I didnt understnad how to do this without knowing how many days to assume per month. 
#263




Quote:
In this question, what you need is to figure out $\sigma$, and then calculate S_0 e^sigma*sqrt{h}, where h = 1/365. 
#264




i'm looking at the syllabus and i think the ADAPT problems i've been doing have been way too hard. ex: i'm doing problems with Asian options that involve Monte Carlo even though the part that mentions asian options is under the General Properties of Options, and it doesn't sound like any of that would involve Black Scholes and such

#267




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I'm just hoping that I either feel super confident after taking the exam or feel the complete opposite. Don't want to risk being somewhere in between. Want to know whether to restudy for the November 2017 MFE sitting or study for my next exam. 
#268




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#270




Quote:
https://www.soa.org/Files/Edu/2017/e...esyllabus.pdf Quote:

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