# MATH 2281 3.0MW (Financial Economics) Assignments - Winter 2013

Assignments and their solutions will be posted here as they become available. The grading hours available are limited, so for some assignments, only a selection of problems will be graded.

### Assignment 1 [corrected]

Due January 28 in class, or by 5pm in the assignment box.
Solutions are posted on the course moodle page.
Problems 3, 4, 5 were graded (15 marks each). Handed back Feb 13.

### Assignment 2

Due February 11 in class (postponed from Feb 8 because York decided to close), or by 4pm in the assignment box. I have taken the second problem off the assignment, as it turned out to be more complicated than I had intended.
Solutions are posted on the course moodle page.
Problems 3, 4, 5 were graded. Handed back Feb 27.

### Assignment 3

Due March 8, in class or by 4pm in the assignment box.
Solutions are posted on the course moodle page.
All assigned problems were graded. Handed back March 22.

### 1st set of practice problems

The following are not to be handed in, but should help in preparing for the midterm.
Solutions are posted on the course moodle page.
• Hull, problem 14.13; With the same parameters, now find the price of a European Put, using put-call-parity.
• On the last assignment you built a tree for problem 12.17(a) of Hull. Redo this problem, also with a 4 month option, and a 2-period tree, a \$30 initial stock price, and 5% interest rates. This time price a call with strike \$30, but now calibrate to a volatility of 20%. Price the same option by BSM, and compare your answers.
• Assume that a stock has volatility 25%, and current price \$97. Assume that risk-free interest rates are 3%. Find the initial price of the following option positions:
• A 6-month bear spread with strikes \$95 and \$105
• A 3-month short straddle, with strike \$100

### Assignment 4

Due March 25, in class or by 4pm in the assignment box.
Solutions are posted on the course moodle page.

### Assignment 5

Due April 3, in class or by 4pm in the assignment box. (Note problem 2 should read "Hull problem 12.19")
Solutions are posted on the course moodle page.

### 2nd set of practice problems

The following are not to be handed in, but should help in preparing for the exam.
• Chapter 18, problem 2
• Chapter 18, problem 3. Calculate the Delta two ways: using our formula, and comparing how the option price changes if the stock price increases by 0.0001
• Chapter 14, problem 8
• Chapter 14, problem 27 [volatility estimate only]

Solutions are posted on the course moodle page.