MA348exam 2000

real world assets, the covariance matrix and the market price of risk

profit or loss on options and the Black-Scholes equation

payoff diagrams, a power option and the Black-Scholes equation

an up-and-out barrier put option and the Black-Scholes equation

a European vanilla call, the delta of an option and the portfolio

a perpetual American put, the Black-Scholes equation and the optimal exercise price

a European average strike option and Itos lemma

an Asian option, a lookback option and a stop-loss option