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#71




can you get more than one quesetion on stock model and risk measure thank you!

#72




actex page SI62
#4 last line. i got 111.66 as the stock price...how did you come up with 136.53? or am i missing something ? 
#73




soaDJ,
It looks like I was missing something. When I calculated the stock price again I got the same 111.66 that you got. Thanks for pointing that out. Sam Broverman 2brove@rogers.com 
#74




SI51 #6 third line
E[S1S1<80] = 110 (ln80ln100(ln1.1+1/2(.16))/.4*sqrt(2)) shouldn't the sqrt(2) be sqrt(1) since its stock price at t=1 not at t=2 ? thanks 
#75




soaDJ,
That should have been E[S2S1<80] in the solution. SB 
#76




May 7, 2007 Exam C Question
You can find the question at:
http://www.sambroverman.com/cqw/may707c.pdf Sam Broverman 2brove@rogers.com 
#77




soaDJ,
I think that my first response was too hasty. You are right about E[S1 ... , The denominator should not have root 2. This changes the rest of the numerical values. I think the same error is in E[S1S1>125] . SB 
#78




SB.
according to your updated errata on pg7 May12/07 4th line "For this model, lamda=1" my question is why you still plug lamda=2 on the last line as the solution exp(2(.0513).... shouldn't it be exp(1(.013) Thank you 
#79




It should be (1(0.0513)  0.5*0.16)*2
since lambda = 1 and k = 0.0513 m=2 with lambda=1 jump per year and h=2 years so the answer should be 123.73. Also I am replacing the first uniform (0,1) value you are given in the problem (.61) by .62, since that is what the solution uses as the first uniform (0,1)value
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#80




Thanks for the comments. I have posted (what I hope is)
a correct solution. SB 
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