Math 336/Econ 390 Homework
Section 5.3.1 European Options
1. Exercise 5.11 on page 123.
Solution: See page 309
2. What is a lower bound for the price of a four-month call option on a non-dividendpayin
Math 336/Econ 390 Homework
Section 5.3.2 American Options
1. Exercise 5.13 on page 125
Solution: See page 310.
2. Give an intuitive explanation of why the early exercise of an American put becomes
mor
Math 336/Econ 390-An Introduction to Financial Engineering
Instructor: Zhixin Wu (Office JSMC 310)
Textbook: Mathematics for Finance: An Introduction to Financial Engineering, by
Marek Capinski & Toma
Review sheet for Exam 2
Chapter 5
Exam Date: April 17th, 2014 10:00-11:30 at Julian 251
Chapter 5
Section 5.1
1. Understand the denitions of call and put options, which consist of strike prices and ma
Operation of margins for a long position in two gold futures contracts. The initial margin is $6,000 per contract, or $12,000 in total; the maintenance margin is $4,500 per contract, or $9,000 intotal
Math 336/Econ 390 Homework
Section 5.1- Option Definitions
1. An investor buys a European put on a share for $3. The stock price is $42 and the strike
price is $40. Under what circumstances does the i
Review sheet for Exam 1
Chapter 1-4
Exam Date: March 13th, 2014, 10:00-11:30 at Julian 251
Chapter 1
1. Understand the basic notations and assumptions of the simple market model. Be able to
calculate