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金融数学金融数学期中考试期中考试时间与地点时间与地点:2006 年年 11 月月 17 日日.下午下午 1:30-3:20.电教楼电教楼 406 室室1.Suppose the stock is presently at $50. We buy one out-of-the- money call option (the exercise price is $55) for $1, buy one in-the-money call (exercise price is $45) for $8, and sell two in-the-money calls (exercise price is $50) for $3 each. 2.(a) 3. 4. 5. 6.记住 Black-Scholes 微分方程. 7.记住 Black-Scholes-Merton 期权定价公式. 8.会用 Maple 程序 Binomial_Lattice 计算间断型二项式格点各类期权价格.(用 于多步格点期权). 9.会用 Maple 程序 Black-Scholes 计算连续型各类期权价格.
