Results 1 to 2 of 2

Math Help - Option pricing..finiancial Calculus.

  1. #1
    Newbie Zo1987's Avatar
    Joined
    Jan 2008
    From
    The U.S.
    Posts
    2

    Option pricing..finiancial Calculus.

    Hello, im new here and I already have some tough questions to ask of y'all. Maybe these problems may be familiar to the mods/helpers of the UK since it was first taught at Cambridge University in 1997.

    Down to business:
    The partial online book:
    A Course in Financial Calculus - Google Book Search

    I need help with #4,7,10

    #4. (A) Prove lemma 1.3.2.
    (B) What happens if we drop the assumption that d < e^rT <u?


    #7. Show that if there is no arbitrage in the market, then any portfolio constructed at time zero that exactly replicates a claim C at time T has the same value at time zero.

    #10 What is payoff of a forward at expiry? Use risk-neutral pricing to solve the pricing problem for a forward contract.
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Member
    Joined
    Jan 2008
    Posts
    154
    Look at John Hull's book.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Binomial Tree Model for Option Pricing Help!
    Posted in the Advanced Algebra Forum
    Replies: 0
    Last Post: September 28th 2011, 05:59 AM
  2. European put option
    Posted in the Business Math Forum
    Replies: 1
    Last Post: November 28th 2010, 11:04 PM
  3. Option pricing
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: April 27th 2010, 03:54 PM
  4. Call option and Put option
    Posted in the Business Math Forum
    Replies: 1
    Last Post: April 9th 2010, 09:14 AM
  5. Value of Option
    Posted in the Business Math Forum
    Replies: 1
    Last Post: May 25th 2007, 08:24 PM

Search Tags


/mathhelpforum @mathhelpforum