Math 623 HW#4 Solution Bear Spread option = Put (K1) Put (K2) ,where K1=60 and K2=50 R=0.02, T=1, =0.2, S0=100, no dividend
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Semester :F03
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2
under risk-neutral measure denoted by Q where ~ N (0,1) and i.i.d. 1b) Bear spread option value = PBS(S0, K1
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MATH 623 HW#6 Solution 1a) Bond Pricing Formula (Zero-Coupon Bond)
Semester: F03
P(0, T ) = (1 + y )T And use linear interpolation to yield and calculate bond price for 0<T<20.
See code below. 2b) The Swap rate R(T) at time 0 with maturity Tn is given by
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Math 623 (IOE 623), Winter 2007: Final exam
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This is a closed book exam. You may bring up to ten one sided A4 pages of notes to the exam. You may also use a calculator but not its memory function. Please write all your solutions in this e
Math 623 (IOE 623), Fall 2005: Final exam
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This is a closed book exam. You may bring up to ten one sided A4 pages of notes to the exam. You may also
use a calculator but not its memory function.
Please write all your solutions in this exa
Math 623 (IOE 623), Fall 2007: Final exam
Name:
Student ID:
This is a closed book exam. You may bring up to ten one sided A4 pages of notes to the exam. You may also use a calculator but not its memory function. Please write all your solutions in this exa
Math 623 (IOE 623), Fall 2007: Final exam
Name:
Student ID:
This is a closed book exam. You may bring up to ten one sided A4 pages of notes to the exam. You may also
use a calculator but not its memory function.
Please write all your solutions in this exa
Math 623 (IOE 623), Fall 2003: Final exam
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Student ID:
This is a closed book exam. The only notes you may bring must be written on a 3x5 card (both sides). You
may use a calculator but not its memory function.
Please write all your solutions in this