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4.7 Exercises

4.01 Price of a European call option.


4.02 Limit the potential losses from a share.


4.03 Time value of an exotic option.


4.04 Implied volatility.


4.05 Hedging the shares of your portfolio.


4.06 Dividend yield with MonteCarlo.


4.07 Dividend yield with finite differences.


4.08 Lognormal finite differences for a call.


4.09 Options devaluation model.


4.10 Stochastic volatility model.


4.11 Trading resistance levels.
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.
 The problem is a direct application of the theory in a situation of
practical interest: solutions typically combine text without formulas,
ASCII plots and parameters of the VMARKET applet without any
programming.

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: 4.6 Computer quiz
Up: 4 EUROPEAN OPTION PAYOFF
Next: 4.8 Further reading and