Weekly Email Sent 18 Mar 2010

Weekly Email Sent 18 Mar 2010 - Ramaswamy, Krishna From:...

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1 Ramaswamy, Krishna From: FINANCIAL DERIVATIVES [FNCE206-001-10A@LISTS.UPENN.EDU] on behalf of Ramaswamy, Krishna [krishna@WHARTON.UPENN.EDU] Sent: Thursday, March 18, 2010 5:02 PM To: FNCE206-001-10A@LISTS.UPENN.EDU Subject: FinDerivs!! Weekly Email Sent 18 Mar 2010 Importance: High Dear All: 1. We’re done with Binomial Option Valuation, and moving on to Black-Scholes and Related Issues. 2. If you haven’t done so already, please read Hull’s Chapters 8,9,11, and 10 – in that order. 3. In Hull’s Chapter 13 – the Black-Scholes-Merton Model – please read Sections 13.1-13.5, and Sections 13.7 to 13.11. I cover the final section 13.12 on dividends with binomial ideas that Hull actually covers in Section 19.3 which is optional reading. 4. In reading Hull, please keep in mind that there are minor differences due to his contcompounding and my formulas: For Ke -rT in Hull, please read PV(K) which I write sometimes as {K/(1+R) T } where ln(1+R) = r. Here r is the contcompounded rate of interest per year, T is time to expiry in
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Weekly Email Sent 18 Mar 2010 - Ramaswamy, Krishna From:...

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