STAT 473. Practice Problems for Exam 2
Spring 2014
Description:
(A) Exam 2 will cover Chapter 10 (Binomial Model), Sections 12.1-12.5 (Black-Scholes framework and Greeks), Delta-Gamma-Theta Approximat
STAT 473. Actuarial Models II.
Homework assignment 1
Spring 2014
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1. Explain why an at-the-money call option (i.e., a call whose strike coincides with the
current stock price S(0) must
STAT 473. Actuarial Models II.
Homework assignment 5
Spring 2014
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o
1. Future stock prices are modeled with a 2-period binomial tree, each period being 6 months.
Consider an American call
STAT 473. Homework assignment 6
Spring 2014
1. Renco stock had the following prices at the end of the rst 6 weeks of 2010:
End of Stock Price
Week 0
100
Week 1
105
Week 2
102
Week 3
105
Week 4
98
Week
STAT 473. Actuarial Models II.
Homework assignment 3
Spring 2014
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1. You are given:
(i) The price of a stock is 35.
(ii) The stock pays continuous dividends proportional to its price at
STAT 473
Homework Assignment 4
Spring 2014
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1. The price of a stock is modeled by a 1-period binomial tree, with the period equal to 1
years. The current price of the stock is 80 and it
STAT 473.
Homework assignment 7
Spring 2014
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Throughout the problem set, assume that the Black-Scholes framework holds.
1. For a European call option, you are given: S0 = 100, K = 95, r
STAT 473. Practice Problems for Exam 1
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Description:
(A) Exam 1 will cover Chapter 9 from McDonalds textbook.
(B) Solution key is provided at the end of the problem set.
(B) The problem
STAT 473.
Practice Problems for Final
Spring 2014
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Description:
(A) The problems below are only intended to serve as preparation or practice for your actual
nal exam. The solution key o