SYLLABUS Previous: 3.6 Computer quiz
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Next: 3.8 Further reading and
3.01 Price estimate for a European call.
3.02 Convergence study using trees.
3.03 American put calculated with a tree.
3.04 Stock option with a dividend yield.
3.05 Stock option with transaction costs.
3.06 Bond option with forward contracts.
3.07 Convertible bond option.
3.08 Forecast mean and bounds for a share price.
3.09 Binomial tree for bonds.
All these problems can be edited and submitted for correction by selecting WORK:assignments on the course main page. They generally open with a template that provides useful advice and guidance to derive the solution. The color coding corresponds to the expected level of difficulty:
Easy.
Moderate.
generally be solved with a short analytical derivation, a discussion
of the result, a plot parametric dependencies.
Difficult.
The problem is an extension of the material discussed in the syllabus
and requires a good command of the mathematical language, which can
be expected for university graduates from quantitative fields.
SYLLABUS Previous: 3.6 Computer quiz Up: 3 FORECASTING WITH UNCERTAINTY Next: 3.8 Further reading and