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Unformatted text preview: a forward interest rate and is supposed to be already known. Chapter 7: ex 7.3 and ex 7.8 (but use an interest rate of 4% instead of 5%) Chapter 8: ex 8.2 and ex 8.5 Part II: Binomial Model Chapter 10: ex 10.6 (but use n = 4 instead of n = 2), ex 10.7 (use n = 4 instead of n = 2: also, it can be useful to use an Excel spreadsheet for this problem), ex 10.12 (take δ = 3% instead of δ = 0, n = 3 instead of n = 2, and T = 1 year instead of 0.5 year). Chapter 11: ex 11.9 (you will also need an Excel spreadsheet), it is suﬃcient to report only the ﬁrst two of the 10 nodes....
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This note was uploaded on 03/02/2011 for the course ACTSC 446 taught by Professor Adam during the Fall '09 term at Waterloo.
- Fall '09