Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
17 shown
M08 Option pricing: from replication to Black–Scholes 17
- P1 Bull call spread on Nifty ★ Check
- P2 A parity violation ★ Check
- P3 Strike monotonicity and convexity ★★
- P4 Homogeneity and the risk-neutral density ★★
- P5 Early exercise of puts ★★
- P6 American calls and a discrete dividend ★★ Check
- P7 Incompleteness in a trinomial model ★★★
- P8 A two-step tree by hand ★★ Check
- P9 Itô's lemma in use ★★
- P10 Solutions of the Black–Scholes PDE ★★
- P11 Digital options ★★ Check
- P12 Greeks in numbers ★ Check
- P13 Hedged P&L of a short straddle ★★★ Check
- P14 Implied volatility ★★ Check
- P15 Black-76 on MCX crude oil ★★ Check
- P16 Case analysis: moving the reference price ★★★
- P17 CRR details ★★ Check