<t>this gamble becomes:A: Winning probability=0.5: 1 to 2B: Winning probability=0.3: 1 to 3C: Winning probability=0.2: 1 to 6X=2.7777, I just gain $100; or X=2, I reserve $28, I also gain $100? right? Is X must a integer?This is risk neutral. But I can't gain more money. Could I have better strategy...

Thanks for your response. I also think Halliron's idea is good. He will earn risk-free return. Could you tell me how to calculate $112 and allocate your money in A, B and C. Thank you in advance.

But this gamble becomes:A: Winning probability=0.5: 1 to 2B: Winning probability=0.3: 1 to 3C: Winning probability=0.2: 1 to 6how to allocate your money?(B's expected return is less than 1)

I will just choose C, because of its high expected return. And I will just put $1 to play this game each time. I can play 100 times to make sure that I maybe get expected return, $140. This idea is good or not?

<t>A gamble, three outcomes:A: Winning probability=0.5: 1 to 2B: Winning probability=0.3: 1 to 4C: Winning probability=0.2: 1 to 7you can choose A, B or C; or choose two or three of them, and you can reserve some cash or not in this game. If you have $100, how do you play this game?(assume you can g...

ha~ha~sorry, my presentation is not very good.Does anyone understand my question?Thank you, Graeme, to look at my strange question once again.

If the payoff is right, Call=max{0,(S1-S2)-X,(S3-S2)-X}then we can say the payoff is wrong, Call=max{0,(S3-S2)-X,(S3-S1)-X} or Call=max{0,(S1-S2)-X,(S3-S1)-X}because "dual spread " assumes that (S3-S1) is right, (S1-S2), (S3-S2) are mispricing. that's my thought, but I think a little strange.

I can write this payoffCall=max{0,(S1-S2)-X,(S3-S2)-X,(S3-S1)-X}but it is seemly invalid, but I don't know why can't I write this kind of payoff?

hi, JJust in his book, derivertives(1998) Ch.11.

<t>We can use stochastic correlation model in multi-asset options, but this approach has its own "problems". I don't know what problem? I think the problems are model risk, mean-reverting speed problem or every asset has its pattern(characteristics), if we combine them will cause many kinds of model...

Three asset spread options(dual spread options) payoff isCall=max{0,(S1-S2)-X,(S3-S2)-X}Why not have {(S3-S1)-X}?Could you tell me why? Thank you.

THANK YOU. I will try it.

thank you.http://www.broda.co.uk this website is work.

I hope to pricing multi-asset options. I need to use Monte Carlo in Sobol method. Could you tell me any paper, internet resources or VBA code about Monte Carlo in Sobol method. Thank you very much!