Stock price probability formulas

    • [DOC File]Probability

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      X(t) = the price of the stock at time t. We assume this is a geometric Brownian motion with drift ( and volatility (. x0 = X(0) = the current price of the stock. We assume this is known. It is $2.50 in Example 1. K = strike price = the price the holder of the option has the right to buy the stock for at the future date.

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    • [DOC File]Advanced Excel - Statistical functions & formulae

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      Step 5. Interpret the probability results by evaluating the F ratio. If the F ratio is larger than the F critical value, F crit, there is a statistically significant difference. If it is smaller than the F crit value, the score differences are best explained by chance. The F ratio 12.57 …

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    • [DOC File]Models for Evaluating the Effectiveness of Internal Controls

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      Research also has shown that investors tend to react negatively to longer audit delays (e.g., Chambers and Penman 1984). Further, the announcement of a material weakness in internal control systems has been associated with drops in stock price, increased share volume, and even some CFOs losing their jobs (Durfee 2005).

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    • [DOC File]The logic of the option pricing theory is based on the ...

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      Therefore we can easily compute the expected value of the option, by using its final values and their probability. Stock Price ($) Call Option Value Probability Probability x Value 129.67 29.67 12.68% 3.762 109.05 9.05 37.68% 3.410 91.7 0 37.32% 0.000 77.12 0 12.32% 0.000 Total: 7.172

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    • [DOC File]Black-Scholes (1973) Option Pricing Formula

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      Note that gamma formulas [6] and [11]are identical for puts and calls, as are vega formulas [7] and [12]. Related Internal Links. Merton (1973) option pricing formula Used to price European options on dividend paying stocks or stock indexes. Black (1976) option pricing formula Used to price options on forwards.

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    • [DOC File]Math 462 Exam 1 Fall 1996

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      iii. Let Sn = be the selling price of BigNet stock on day n. This is a random variable. un = average (or expected value) of Sn. a. (6 points) Find the probability that the SEC will not have indicted the BigNet President before you can sell the stock on day n should you want to. b. (6 points) Find a formula for un.

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    • [DOC File]Study Guide for Mathematics for Business Decisions I

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      57. After making calculations and running simulations, suppose we estimate the following possible closing prices for our stock and the corresponding probability distribution. If the strike price is $50, determine a fair price for the option by the method of project 2. Closing price $47 $49 $50 $54 $55 Probability 0.1 0.2 0.4 0.2 0.1 58.

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    • [DOC File]Chapters 1&2 - Investments, Investment Markets, and ...

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      Adjust the price of stock B: 30 / (1 + 0.1) = 27.27 (new stock price for B if B issues 10% stock dividend) Calculate the new divisor: (20 + 27.27 + 40) / d = 30.00 (stock dividend should not affect the closing average) and solve for the new divisor, d = 2.91 Derivative markets

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    • [DOC File]Chapter 10

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      The formulas for the three measures are below and results listed above. Sharpe: Treynor: Jensen: 12. See the Black-Scholes formula. Substitute: Current stock price = S0 = $1.0. Exercise price = X = (1 + rf) = 1.01. Standard deviation = ( = 0.055. Risk-free interest rate = rf = 0.01. Time to maturity of option = T = 1

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