York University
Faculty of Science and Engineering
MATH 2281 3.00MW Financial Economics
Instructors: A. Kuznetsov, T. Salisbury
Second Midterm Examination Solutions
March 23, 2012
NAME:
SIGNATURE:
STU
York University
Faculty of Science and Engineering
MATH 2281 3.00MW Financial Economics
Instructor: T. Salisbury
Second Midterm Examination Solutions
March 18, 2011
NAME:
SIGNATURE:
STUDENT NUMBER:
In
Binomialpricing:Europeancall(nodividends)
T
S0
r
sigma
K
periods
dt
u
d
R
p
s
del
v
d1
d2
BSMprice
(att=0)
1
10
4%
15%
9.5
6
0.1666666667
1.06315111
0.940600062
1.0066889384
0.539276305
Weuseu=e^(sigm
BINOMIAL OPTION PRICING IN EXCEL
This note explains how to create a binomial tree and use it to price a call option via an Excel
spreadsheet.
(1) Open Excel and have a look at a spreadsheet. A typical
ICE Futures Canada
Jan 26, 2011
Canola Futures
Contract Specifications
Description
The canola futures contract is the world benchmark for canola trading. The
contract prices physical delivery of canol
Amer call
Binomial Tree
Stock model: CRR calibration
Option: American call
Q-prob
138.62 I del
233.62 S v
H B
Calibration
r (int rate)
q (div rate)
sigma (vol)
initial S
Strike
T
n
delta t
Node values
MATH 2281 3.00MW (Winter 2012)
Financial Economics
Course Outline
Prerequisites:
Interest rates (MATH 2280 or equivalent)
Probability (MATH 2030)
Linear algebra (MATH 1021 or MATH 2221)
Note that MATH
York University
MATH 2281 3.00MW Financial Economics
Instructors: A. Kuznetsov, T. Salisbury
Assignment 4
Due March , 2012
(1) Do problem 14.28(a) of Hull, assuming S0 = 2, T is 1 year, r = 3%, and
=
NAME
STUDENT #
York University
MATH 2281 3.00MW Financial Economics
Midterm Examination I Solutions (Salisbury)
February 11, 2011
You have 50 minutes to complete this examination. There are 4 page
NAME
STUDENT #
York University
MATH 2281 3.00MW Financial Economics
Midterm Examination I
February 11, 2011
You have 50 minutes to complete this examination. There are 4 pages to the
examination,
York University
Faculty of Science and Engineering
MATH 2281 3.00MW Financial Economics
Instructors: A. Kuznetsov, T. Salisbury
First Midterm Examination Solutions
February 10, 2012
NAME:
SIGNATURE:
S
FULL NAME:
STUDENT ID:
SIGNATURE:
York University
Faculty of Science
Department of Mathematics and Statistics
MATH 2281 M
Test 1
February 01, 2017
INSTRUCTIONS:
Time Allowed: 45 minutes
This examina
FULL NAME:
STUDENT ID:
Y 4 SIGNATURE
York University
Faculty of Science
Department of Mathematics and Statistics
MATH 2281 M
Test 2
March 18, 2016
INSTRUCTIONS:
a Time Allowed: 50 minutes
0 This exam
York University
MATH 2281 3.0MW (Financial Economics)
Practice problems II Solutions
April 2011 Salisbury
I was asked for some additional practice problems on topics like what came up on
the midterms.
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 3 Solutions
February 2011 Salisbury
Problem 5.12
(a) An S&P contract is for $250 times the index. The notional value is
V0 = 10 $250 95
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 1 Solutions
January 2011 Salisbury
Problem 1.3
(a) It will cost 100 $41.05 + $20 = $4, 125 to buy 100 shares.
(b) You will receive 100
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 2 Solutions
January 2011 Salisbury
Problem 5.5
(a) 9 months is 0.75 years, so S0 erT = 1100 e0.050.75 = 1142.03
(b) You will have a lon
York University
MATH 2281 3.0MW (Financial Economics)
Practice problems Solutions
April 2011 Salisbury
Problem 13.2
The put option parameters are K = 40, r = 0.08, = 0, and = 0.30;
91
The portfolio is
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 5 Solutions
March 2011 Salisbury
1. European Put
We are using a model with no dividends. The argument given in class works for all
payo
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 4 Solutions
March 2011 Salisbury
Problem 9.1
By put-call parity,
P = C SeT + KerT = 2.27 32e0.060.5 + 35e0.040.5 = 5.52
Problem 9.9
The
York University
MATH 2281 3.0MW (Financial Economics)
Assignment 6 Solutions
April 2011 Salisbury
(1) I started with the spreadsheet of assignment 4. I modied it to incorporating
the formula for delta