Assigned on 09/07/2016
Due on 09/14/16
1. Show that c S0 and C S0 where c and C are the values of European and American
call options, respectively and S0 is the current price of the stock.
2. Show that p KerT and P K where p and P are the
Assigned 08/24/16, Due 08/31/16 in class.
Reading assignment: Read Chapter 1 of JC Hulls book. Go over the slides for Chapter
1 that you can find on his webpage and let me know if you have any questions. Go to the
webpage for CME Gro
Due 09/07/16 in class.
1. Suppose that you enter into a 6-month forward contract on a non-dividend-paying
stock when the stock price is $30 and the risk-free interest rate (with continuous compound