Math 623, F 2013: Homework 3.
For full credit, your solutions must be clearly presented and all code included.
(1) In the Black-Scholes method for pricing of options it is assumed that the stock price evolves
according to geometric Brownian motion:
dSt
=
Math 623 (IOE 623), Winter 2009: 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 2012: 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, Fall 2013: Homework 1.
For full credit, your solutions must be clearly presented and all code included.
(1) Consider the following initial value problem for the function u = u(x) dened for 0 x 1.
uxx + (1 + x2 )ux (1 + x)u = 0
and u(0) = 1, ux (
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 2011: 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), Winter 2008: 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 e
Math 623, F 2013: Homework 6.
For full credit, your solutions must be clearly presented and all code included.
(1) This problem is concerned with calculations on the Hull-White tree constructed in
problem 3 of homework V. You should use spline interpolati
Math 623, F 2013: Homework 5.
For full credit, your solutions must be clearly presented and all code included.
(1) This problem deals with the pricing of a strangle option using a binomial tree.
The underlying stock price St follows geometric Brownian mot
Math 623, F 2013: Homework 4.
For full credit, your solutions must be clearly presented and all code included.
(1) In this problem we will be interested in valuing an out-of-the-money bear spread option on a
stock St which evolves by geometric Brownian mo
Math 623, F 2013: Homework 2
For full credit, your solutions must be clearly presented and all code included.
(1) Consider the situation described in problem (2) of homework I. In this problem we shall use the
Euler method from there (modied appropriately
Math 623 (IOE 623), Fall 2008: 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