MATH 238 WINTER 2009 PROBLEM SET 1 - SOLUTIONS Problem 1: Let S be the current stock price, K the strike price of the option, T the expiration time of the option, t the current time, ST the stock pric
Math 238 Winter 2009 Problem Set 3 - Solutions
March 4, 2009
Problem 1 Consider a company with N outstanding shares and M outstanding European warrants. Each warrant entitles the holder to purchase sh
Math 238, Financial Mathematics Problem set 3
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Problem 1 Consider the Vasicek (or Ornstein-Uhlenbeck) model for the observed short rate (money market rate) rt which is drt =
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The Journal of Derivatives 1993.1.1:71-84. Downloaded from www.iijournals.com by PRINCETON UNIVERSITY on 11/11/10.
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Math 238, Financial Mathematics Homework 5 Solutions
March 17, 2009
Problem 1 For the Vasicek short rate model, the price c(t, T1 , K, T2 ) at time t of a call option maturing at time T1 with strike p
Stochastic Processes
Amir Dembo (revised by Kevin Ross)
April 8, 2008
E-mail address: amir@stat.stanford.edu
Department of Statistics, Stanford University, Stanford, CA 94305.
Contents
Preface
5
Chapt
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Publisher Routledge
Informa Ltd Registered in England and Wales Registered Number: 1072954 Registered offic
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January 27, 2009
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The Pricing of Options and Corporate Liabilities
Author(s): Fischer Black and Myron Scholes
Reviewed work(s):
Source: Journal of Political Economy, Vol. 81, No. 3 (May - Jun., 1973), pp. 637-654
Publi
Math 238, Financial Mathematics
Problem set 3
February 11, 2016
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PDEs with Applications to Finance
Spring 2015
Lecture 7
Lecturer: Marta Leniec
E-mail: marta.leniec@math.uu.se
1. Introduction to American Options
Recall that a European option is an option that can b
Problem 3
Consider the pricing of the American perpetual put option. Let the underlying price process
be geometric Brownian motion in the risk neutral setting
dSt = rSt dt + St dWt , S0 = S.
The price
CHAPTER 5
American Options
The distinctive feature of an American option is its early exercise privilege,
that is, the holder can exercise the option prior to the date of expiration.
Since the additio
Appl Math Optim 17:37-60 (1988)
Applied Mathematics
and Optimization
1988 Springer-Verlag New York Inc.
On the Pricing of American Options*
Ioannis Karatzas
Department of Statistics, Columbia Univers
Mathematical Finance, Vol. 1, No. 2 (April 1991), 1—14
OPTIMAL STOPPING AND THE AMERICAN PUT
S. D. JACKA‘
Department of Statistics, University of Warwick, Coventry, England
We show that the problem
Financial Applications of Random Matrix Theory: a short review
Jean-Philippe Bouchaud, Marc Potters
Science & Finance, Capital Fund Management, 6 Bd Haussmann, 75009 Paris France
I.
arXiv:0910.1205v1
SIAM REVIEW
Vol. 15, No. 1, January 1973
MATHEMATICS OF SPECULATIVE PRICE*
PAUL A.
SAMUELSON"
This paper is dedicated to a great mind, L. J. Savage of Yale.
Abstraeto A variety of mathematical methods
Math 238, Financial Mathematics
Problem set 2
January 25, 2016
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Math 238, Financial Mathematics
Problem set 1
January 16, 2016
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MATH 238 WINTER 2009 PROBLEM SET 2 - SOLUTIONS
Problem 1 Derive the put-call parity relation using the Black-Scholes equation and then give a no-arbitrage interpretation of it. Solution Let C (x, t) a
Math 238, Financial Mathematics Problem set 4
February 17, 2009
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On the pricing and hedging
of volatility derivatives
SAM HOWISON
Mathematical Institute, University of Oxford, 24 29 St. Giles,
OX1 3LB Oxford, UK
Email: howison@maths.ox.ac.uk
AVRAAM RAFAILIDIS
Depar
Pricing and Hedging Volatility Derivatives
Mark Broadiea
Ashish Jainb
January 10, 2008
Abstract
This paper studies the pricing and hedging of variance swaps and other volatility derivatives,
including
Towards a Theory of Volatility Trading
Peter Carr
Morgan Stanley
1585 Broadway, 6th Floor
New York, NY 10036
(212) 761-7340
carrp@ms.com
Dilip Madan
College of Business and Management
University of Ma
ROBERT E. WHALEY*
Understanding VIX
ABSTRACT
In the recent weeks of market turmoil, financial news services have begun
routinely reporting the level of the CBOEs Market Volatility Index or VIX, for s