Erratum – new version of problem set 8 now available at

One of your fellow classmates (who will remain unnamed :-)) pointed out to me that as originally written, problem set 8 asked for solving the value of a call option using the delta hedging approach.  Since I did not cover delta hedging, I have modified the problem (just moments ago) so that it now asks for calculating call and put values using replicating portfolio and risk neutral valuation approaches.  So if you have previously downloaded the problem set before now, delete that copy and re-download the corrected version, which looks like this:

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