Exercises for the seminar Wednesday ¡­

Exercises for the seminar Wednesday October 11th:

• Chapter 11 (binomial trees): 11.1 11.2
• Chapter 12 (Wiener processes and Ito's lemma): 12.2 12.5 12.10
• Chapter 13 (Black-Scholes-Merton model): Distributions: 13.1 13.7 13.8 Black-Scholes pricing formula: 13.13 13.14 Pricing new assets: 13.11 13.12 (technically somewhat more demanding) Volatility: 13.6 13.16Instructions: At least try to solve the exercises on beforehand. Volunteers can present on the blackboard, as always.