subjects2_09f - (Chapter 3) 6. Suppose r is a given...

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Main Subjects of Chapters 3 and 4 1. Closed-form solutions for European barrier options, properties of Eu- ropean and American barrier options, and relations among knock-out, knock-in and vanilla options, Problems 1* 1 , 2a,b,d,e, 3* (Chapter 3) 2. Asian options and Lookback options: Finding jump condition, reducing a two-dimensional problem to a one-dimensional problem, and formu- lating a free-boundary problem. Problems: 6*, 7*, 8, 9*. (Chapter 3) 3. Closed-form solutions of Lookback strike options. Problems 11, 12. (Chapter 3) 4. Closed-form solutions of multi-asset options. Problems: 21, 22, 23*, 24, 26*. (Chapter 3) 5. Show some identities between several options. Problems: 30*, 31*,
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Unformatted text preview: (Chapter 3) 6. Suppose r is a given function of t , deriving of price formula for coupon-paying bonds and nd the simple expression if r is a constant and the coupons are paid discretely. Problems: 1*. (Chapter 4) 7. One-factor models and determination of the market price of risk and inverse problem for a bond equation. Problems: 5*, 6, 10*. (Chapter 4) 8. Pricing European bond options and swaption. Problems: 11*, 12, 15 16*. (Chapter 4) 9. Three-factor model. Problems: 19, 20*, 22, 24. (Chapter 4) 10. Convertible bond. Problems: 27*, 29. (Chapter 4) 1 60-70 % of the materials on Test II will be from these problems with *...
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