Newsletter #168 Home
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Developing and
Implementing
Risk Management
Systems

Fortis Group
Case Study



American Depository
Receipts in The
Global Equity Model



Analyzing the
Performance of
Crossing Networks
The Market
Impact Model™ — Part 4



The BARRA Brainteaser
 for Fall 1998
Solution to the Summer
1998 Brainteaser

The Conundrums, Brainteasers and Other Enigmas (CBOE) Exchange Revisited

On the CBOE exchange, stock prices move by exactly one tick from one trade to the next, with a 50% probability of moving either up or down. On average, after how many trades will a stock on the CBOE exchange have traded at N different levels after opening? How is the answer affected if the probabilities of the up and down moves are p and q respectively?

You may send solutions to the BARRA Brainteaser to Eugene Reznik:

E-mail: eugene.reznik@barra.com
Fax: 510.548.4374
Mail: BARRA, 2100 Milvia Street, Berkeley, CA 94704-1333, USA