Am I wrong? Urgent!!# Actuary - 精算
c*u
1 楼
r --- continuous capital gain rate d --- continuous dividend rate
R --- risk free rate s --- current price of the stock
So the accurate prepaid foward price: s*exp(-(r+d-R)*t) but not s*exp(-d*t).
Thus when given "the expected return from the non-dividend paying stock is
20%" as quoted from EXERCISE 8.18 of ASM MFE, I conclude that prepaid foward
price is s*exp(-(20%-risk free rate)*t)!
However,according to the solution, the 20% is extraneous so that the prepaid
foward price
R --- risk free rate s --- current price of the stock
So the accurate prepaid foward price: s*exp(-(r+d-R)*t) but not s*exp(-d*t).
Thus when given "the expected return from the non-dividend paying stock is
20%" as quoted from EXERCISE 8.18 of ASM MFE, I conclude that prepaid foward
price is s*exp(-(20%-risk free rate)*t)!
However,according to the solution, the 20% is extraneous so that the prepaid
foward price