MATH 235 Study Guide - Final Guide: Call Option, Arbitrage, Jump Process

• School: McGill University
• Department: Mathematics and Statistics
• Course: MATH 235
• Professor: Dan Wolczuk

Document Summary

Important: in this and in future assignments, most of the marks for programming questions are allocated for explanations of algorithms (i. e. pseudo-code) and explanation of results. If all you hand in is the listing of the raw code or raw output by itself, you will get poor marks. By default, you should submit listings of all matlab code used in your assignment. Be sure to document (i. e. add liberal comments) your code. The ta will take o marks for poor documentation. You are advised to make a copy of your assignment before you hand it in. We try to make sure it does not happen, but assignments occasionally go missing: (15 marks) option pricing using a binomial lattice. Develop code for pricing european and american puts/calls using a binomial lattice. Use the lattice parameters for the no-arbitrage lattice in section 5. 2 (part i) of the course notes.