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
( r
Semester :F03
2
2
under risk-neutral measure denoted by Q where ~ N (0,
SS w pP ec n e
ATHxP Rogf0zdiV
Q y py r h Vy y y c a p a y g c p p c a h v e c g r c V a et v r c h c c y e t V g p c h c a
dcfw_ qdurswdeduftiwspdwxs|spBh~hEdjisiiTdwdudfdjshng DdiE~Xjf`dbY
dspAiiiV
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
irP ii ~ e qgqj ~ e iqod P jD|qg6d P i ig qod b w y v v z yh fU z y h b ` z y qUehccqcccCcciU qYi l WqgqjptIom l )tpj7qhfd A RirP R i gI h y xv wgqUxDwcyiUDyhczeicYD|[email protected] iAcxiUGqUYSccqUix xDp b
Math 623 (IOE 623), Winter 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 mem
Math 623 (IOE 623), Fall 2005: 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 memor
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 memor
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 memor
Math 623 (IOE 623), Fall 2003: Final exam
Name:
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 me