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Unformatted text preview: . The payoff of the floor at time t, (for t = 0,1,2) if exercised. Floor ( K ) Q 0 0.06 0.5 0 0 Nominal Amount ( L ) Reset( ) 0 10 20 1000 1 This lattice shows the value of the floor at time t. 0 0 0 9.209344 19.52381 20 The price of the floor is $9.21 1. d) ArrowDebreu Prices 1. e) Pricing the floor Using ArrowDebreu prices This agrees with our previous results....
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This note was uploaded on 02/23/2012 for the course ACTSC 445 taught by Professor Christianelemieux during the Fall '09 term at Waterloo.
 Fall '09
 ChristianeLemieux

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