Option Pricing Class Problem Solutions

The solutions for Parts A and B of today’s Option Pricing Class Problem handout are available at http://fin4335.garven.com/spring2019/BinomialOPMClassProblemSolutions.pdf.  I provided solution procedures using all of the methods that were showcased during today’s class meeting; i.e., replicating portfolio, delta hedging, risk neutral valuation, and put-call parity.

Next Tuesday, we will start class by introducing the concept of multiperiod binomial models, and working parts C and D of today’s Option Pricing Class Problem handout.  In the meantime, I highly recommend that students review these solutions and take a stab at solving Parts C and D on your own.

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