arbitrage-argument

  1. Nicole Seaman

    P2.T5.23.1. Risk-neutral interest rate term structure

    Learning objectives: Calculate the expected discounted value of a zero-coupon security using a binomial tree. Construct and apply an arbitrage argument to price a call option on a zero-coupon security using replicating portfolios. Define risk-neutral pricing and apply it to option pricing...
    • Nicole Seaman
    • Thread
    • arbitrage-argument binomial-tree interest-rate-drift interest-rate-term-structure option-pricing risk-neutral-pricing
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. David Harper CFA FRM

    P1.T3.22.18 Short-selling and financial forward contracts

    Learning objectives: Define and describe financial assets. Define short-selling and calculate the net profit of a short sale of a dividend-paying stock. Describe the differences between forward and futures contracts and explain the relationship between forward and spot prices. Calculate the...
  3. Nicole Seaman

    P1.T4.900. Discount function and the Law of One Price (Tuckman, Ch.1)

    Learning objectives: Define discount factor and use a discount function to compute present and future values. Define the “law of one price,” explain it using an arbitrage argument, and describe how it can be applied to bond pricing. Identify the components of a US Treasury coupon bond, and...
    • Nicole Seaman
    • Thread
    • arbitrage-argument c-strips discount-factor discount-function future-value law-of-one-price p-strips present-value treasury-strips us-treasury-bond
    • Replies: 0
    • Forum: FRM® Practice Questions
  4. D

    Construct and apply an arbitrage argument to price a call option on a zero-coupon security using rep

    Hello, On page 8 of the formula sheet there is an example for the aim Construct and apply an arbitrage argument to price a call option on a zero-coupon security using replicating portfolios.. I was wondering if there is a .xls that I can access to see how all the numbers were derived? Thanks!
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