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 Monte-Carlo.

4.07 Dividend yield with finite differences.

4.08 Log-normal 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.