# hw4 - 1 UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN...

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Unformatted text preview: 1 UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Actuarial Science Program DEPARTMENT OF MATHEMATICS Math 476 / 567 P r o f . R i c k G o r v e t t Actuarial Risk Theory Fall, 2010 Homework Assignment # 4 (max. points = 8) Due at the beginning of class on Thursday, October 7, 2010 You are encouraged to work on these problems in groups of no more than 3 or 4. However, each student must hand in her/his own answer sheet. Please show your work enough to show that you understand how to do the problem and circle your final answer. Full credit can only be given if the answer and approach are appropriate. Please provide answers to two decimal places. Note: When calculating a percentage, please provide answers either as a proportion to four decimal places (e.g., 0.xxxx), or as a percentage to two decimal places (e.g., xx.xx%). For Problems (1) and (2): Assume the Black-Scholes framework holds. Consider a one-year 50-strike European call option on an underlying non-dividend-paying stock which has a current...
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## This note was uploaded on 03/11/2011 for the course MATH 476 taught by Professor Staff during the Winter '08 term at University of Illinois, Urbana Champaign.

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hw4 - 1 UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN...

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