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حسابداری و مالی::
اوراق جفت
Suppose that this "twin security" is priced at $24 and is expected to pay out $40 in the up state and $16 in the down state.
We can construct a portfolio of 5 units of the twin security
These payouts are not perfectly correlated with the twin security or the project itself.
However, we can use put-call parity from Chapter 7 to construct a replicating portfolio that is made up of m shares of the twin security and B default-free bonds, each worth $1 today and paying $1(1 + rf ) at the end of the period.
for m, the number of units of the twin security in the replicating portfolio:
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