Math 459/559 Assignments
Tue 1/13
Read: Luenberger sections 9.1-9.3
Thu 1/15
Read: Luenberger sections 9.4, 9.5
Homework: 9.1, 9.3, 9.4, and for 559 students, 9.6.
Thu 1/22
Read: Luenberger sections 10.1-10.3.
Homework: 10.1, 10.3.
Tue 1/27
Read: Luenberger sections 10.4, 10.6, 10.7.
Homework: 10.7.
Homework Assignment #1
459 (35 pts): 9.1 (15 pts), 9.4 (10 pts), 10.3 (10 pts)
559 (35 pts): 9.4 (10 pts), 9.6 (15 pts), 10.3 (10 pts)
Due Tuesday, 2/3, at the beginning of class.
Tue 2/3
Read: Luenberger sections 10.5, 10.8-10.10, 10.12.
Homework: 10.10, 10.11, 10.13, 10.14.
Thu 2/12
Read: Higham Chapter 12.
Homework: Higham 12.2, 12.3.
Tue 2/17
Read: Higham Chapters 13.
Thu 2/19
Read: Higham Chapter 14.
Homework: Higham 14.1, 14.2.
Homework Assignment #2
(40 pts, 10 pts each): Luenberger: 10.13. Higham: 12.2, 14.1,
14.2.
Due Thursday, 2/26, at the beginning of class.
Tue 3/17
Read: Higham Chapter 15.
Homework: Higham 15.1, 15.3, 15.4.
Thu 3/19
Read: Higham Chapters 17, 18.
Homework: Higham 17.1, 17.4, 17.7, 17.8, 18.1, 18.3.
Homework Assignment #3
15.3 (10 points), 15.4 (10 points),
17.1 (10 points), 17.8 (10 points)
18.3 (15 points).
Due Tuesday, 3/31, at the beginning of class.
Thu 3/26
Homework:
L.1: Show that for a European put on a stock which pays continuous
dividends, P(S,t)=Ker(T-t)N(-d*2)-Se-q
(T-t)N(-d*1).
Here d*1 and d*2
are the usual d1 and d2 with r replaced by
r-q.
L.2: Compute &Delta for a European call with one discrete dividend payment.
L.3: Compute the value of a European put with one discrete dividend
payment.
L.4: Derive a put call parity formula for options on futures.
Tue 3/31
Read: Higham Chapter 19.
Homework: 19.2, 19.4.
Tue 4/7
Read: Higham Chapter 21.
Homework: 21.5, 21.8.
Thu 4/9
Read: Higham Chapter 22.
Homework: 22.1, 22.2.
Homework Assignment #4
60 points, 10 points each: L.2, L.3, 19.4, 21.5, 21.8, 22.1
Due Thursday, 4/16, at the beginning of class.