Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Investment / Financial Markets
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

Salary Surveys
Property & Casualty, Life, Health & Pension

Health Actuary Jobs
Insurance & Consulting jobs for Students, Associates & Fellows

Actuarial Recruitment
Visit DW Simpson's website for more info.
www.dwsimpson.com/about

Casualty Jobs
Property & Casualty jobs for Students, Associates & Fellows


Investment / Financial Markets Old Exam MFE Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #281  
Old 06-28-2017, 10:26 AM
kadsura kadsura is offline
Member
CAS
 
Join Date: Oct 2016
Studying for the heck of it
Posts: 613
Default

Quote:
Originally Posted by InTheDark View Post
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%.
__________________
1 2 3 4 S 5 6 7 8 9
VE VCF OC1 OC2 COP
Reply With Quote
  #282  
Old 06-28-2017, 01:30 PM
Art_Vandelay's Avatar
Art_Vandelay Art_Vandelay is offline
Member
SOA
 
Join Date: Oct 2013
Location: Birmingham, USA
College: AU
Favorite beer: bankston 88
Posts: 186
Smile

well guys it looks like i'll have a study break tomorrow... for an interview!
__________________
VEE P FM MFE C MLC IA FA


Reply With Quote
  #283  
Old 06-28-2017, 05:37 PM
The Disreputable Dog's Avatar
The Disreputable Dog The Disreputable Dog is offline
Member
CAS
 
Join Date: Dec 2011
Studying for prelims
College: Somersby School
Favorite beer: Worldwide Stout
Posts: 828
Default

9 days!

Good luck tomorrow, BJB!
Reply With Quote
  #284  
Old 06-29-2017, 05:42 PM
The Disreputable Dog's Avatar
The Disreputable Dog The Disreputable Dog is offline
Member
CAS
 
Join Date: Dec 2011
Studying for prelims
College: Somersby School
Favorite beer: Worldwide Stout
Posts: 828
Default

days!

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

Quote:
Originally Posted by The Disreputable Dog View Post
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.
Reply With Quote
  #286  
Old 06-30-2017, 11:38 AM
jooni jooni is offline
Member
CAS
 
Join Date: Jan 2017
Posts: 76
Default

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.
Reply With Quote
  #287  
Old 06-30-2017, 05:25 PM
Art_Vandelay's Avatar
Art_Vandelay Art_Vandelay is offline
Member
SOA
 
Join Date: Oct 2013
Location: Birmingham, USA
College: AU
Favorite beer: bankston 88
Posts: 186
Default

does anyone know if there is a way to view the soa 76 in adapt?
__________________
VEE P FM MFE C MLC IA FA


Reply With Quote
  #288  
Old 06-30-2017, 07:14 PM
iridocyclitis iridocyclitis is offline
Member
SOA
 
Join Date: May 2017
Posts: 149
Default

Quote:
Originally Posted by jooni View Post
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
Reply With Quote
  #289  
Old 06-30-2017, 10:28 PM
tkt's Avatar
tkt tkt is offline
Member
CAS SOA
 
Join Date: Jun 2011
Location: Des Moines
College: Drake University
Posts: 490
Default

Quote:
Originally Posted by bjb0016 View Post
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.
__________________
Tong Khon Teh, FSA, CFA
Product Manager, Actuarial
coachingactuaries.com
Reply With Quote
  #290  
Old 07-01-2017, 11:17 AM
Cat2014 Cat2014 is offline
Member
SOA
 
Join Date: Apr 2014
College: University 3rd year
Posts: 112
Default

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
Reply With Quote
Reply

Tags
guinea pigs

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 06:57 PM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.48403 seconds with 10 queries