possibility that volatility is not constant; that is, may not be a
fixed parameter but may change over time. Many sophisticated
statistical studies have explored time-varying volatility.14 At
present, however, there is no generally accepted economic
theor

2+
gN g2 N1 where g denotes the sample average, g=
N 1 gt/N. The standard deviation, , is then obtained as the
positive square root of the variance. For convenience, from now
on the circumflex, over is omitted, though it should not be
forgotten that its v

shares. This equality determines the value of each unit of the
contingent claim, the bond. More concretely, suppose that an
arbitrage portfolio is constructed from the shares, bonds and
risk-free borrowing or lending. In market equilibrium, the payoff
fro

Initial outlay State 1 State 2 Shares 80N 120N 100N
Contingent claim ZM 120M 110M Loan B 12B 12B Total 0
00
Reasoning identical to that applied in the option example
(section 19.2) shows that a zero payoff in both states implies that
M
=2N
and
B=100N.
Zer

> 0 (18.12) Consider the following strategy: short-sell one unit
of stock, write one put, buy one call and borrow B=cpS, so
that the strategy requires zero initial outlay. (Because B could be
of either sign, remember that B<0 is interpreted as lending.)
A

Esquizofrenia
Autor
Puntos clave
Jess Alberdi Sudupe
Carlos Castro Dono
C. Vzquez Ventosos
Ms til que la clsica divisin de la esquizofrenia por su modo de presentacin
M. Especialistas en Psiquiatra.
Servicio de Psiquiatra. Complexo Hospitalario Juan Cana