Homework Set 6
REVISED 2019-12-05
Math 456
Topics in Financial Mathematics
Prof. Wickerhauser
Read Chapters 11 and 12 of the textbook, "Binomial Models In Finance" by
John van der Hoek and Robert J. Elliott
NOTE: When asked to produce a spreadsheet, you may instead implement
the model in Octave or another system. For full credit you must
translate the algorithm into a computer program and produce output
from several examples. Include your code so that the grader can see
and reproduce your work.
Do the following exercises from the textbook Chapter 11.6, p.149:
Exercise 11.4. Use either a spreadsheet such as BlackScholes.ods or an Octave program such as BlackScholes.m on the class website.
((Exercise 11.6.)) This problem has been removed, counts for nothing, and will not be graded.
Exercise 11.7.
Exercise 11.8.
Exercise 11.9.
Exercise 11.10.
Exercise 11.11.
Exercise 11.12.
Exercise 11.13.
Do the following exercises from the textbook Chapter 12.8, p.170:
Exercise 12.12. You may use ImpliedTree.m from the class website for part of the calculation.
Exercise 12.13. Build your own spreadsheet for this one.
Exercise 12.14. You may use a program written to solve a previous exercise.
Exercise 12.15.