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    (2 π) σ (w) θ 1− ρ − − 1− p + 1−ρ exp −∁ 2 1−ρ 2 ρw + 1 1 2

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    Bazanye Bosco
    The document provides mathematical formulas for modeling financial processes. It includes formulas for a probability density function f(w) that involves parameters like ρ, σ1, σ2, α(w), b(w), and d(w). It also includes formulas for the cumulative distribution function Φ(y) and for pricing derivatives V(S,K,t) that involve parameters like S0, N, K, r, σ(τ).

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    (2 π) σ (w) θ 1− ρ − − 1− p + 1−ρ exp −∁ 2 1−ρ 2 ρw + 1 1 2

    Uploaded by

    Bazanye Bosco
    17 views2 pages
    The document provides mathematical formulas for modeling financial processes. It includes formulas for a probability density function f(w) that involves parameters like ρ, σ1, σ2, α(w), b(w), and d(w). It also includes formulas for the cumulative distribution function Φ(y) and for pricing derivatives V(S,K,t) that involve parameters like S0, N, K, r, σ(τ).

    Original Title

    MARIA

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    The document provides mathematical formulas for modeling financial processes. It includes formulas for a probability density function f(w) that involves parameters like ρ, σ1, σ2, α(w), b(w), and d(w). It also includes formulas for the cumulative distribution function Φ(y) and for pricing derivatives V(S,K,t) that involve parameters like S0, N, K, r, σ(τ).

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    17 views2 pages

    (2 π) σ (w) θ 1− ρ − − 1− p + 1−ρ exp −∁ 2 1−ρ 2 ρw + 1 1 2

    Uploaded by

    Bazanye Bosco
    The document provides mathematical formulas for modeling financial processes. It includes formulas for a probability density function f(w) that involves parameters like ρ, σ1, σ2, α(w), b(w), and d(w). It also includes formulas for the cumulative distribution function Φ(y) and for pricing derivatives V(S,K,t) that involve parameters like S0, N, K, r, σ(τ).

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 2

    NATURINDA ROSEMARY

    SECD/A/833/SEP/2018

    b ( w ) d (w)
    f ( w )=
    b ( w) −b ( w )
    √ (2 π ) σ1 σ2 (w) θ
    { ( 1− ρ2 ) α ( w )
    ( 1−ρ2 )
    } {√ (
    −θ
    1− p2 ) α ( w ) }
    +
    √ π σ 1 σ 2 (w )
    exp

    ¿
    −∁
    { ( )}
    2 1−ρ2
    ,

    w 2 2 ρw 1 1
    Where α ( w )=
    ( 2
    σ1
    − +
    σ 1 σ σ 22 2
    ,
    2
    )
    θ1 w θ +θ θ
    b ( w )=
    σ12
    (
    −ρ 1 2 w + 22
    σ1σ σ2 2
    )
    θ21 2 ρθ 1θ θ22
    c= 2 − + 2, 2

    σ1 σ 1σ σ2 2

    2 (w )

    b2 (w )−c α
    d (w)=exp
    {
    2 ( 1− ρ2) α 2 ( w )
    .
    }
    y
    1 −1 2
    ∅ ( y )=∫ ∅ ( u ) du , where ∅ (u )= e u ,
    −w √( 2 π ) 2
    NATURINDA ROSEMARY
    SECD/A/833/SEP/2018

    ¿
    V(S, K, t)- St N ¿

    -KN¿
    Where
    S¿t =Sαt exp 2¿
    T
    ¿1 T −τ α σ 2 (τ+ 2T 2 H −1 ) Hα σ 2 T 2 H −1
    r = ∫ α (r r −q r ¿ ) ¿dτ − +
    T ° T 4 2 H +1

    2 T −T 0 ¿ H ( 2 H +3 ) T 2 H +T o2 H −1
    σ
    ¿
    τ= √ τασ
    √ 1−
    3 T −t H
    σ = 1−
    √
    ( H +1 ) (2 H +1 ) T 2 H −t 2 H

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