Problemset
11 / 689 problems
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| # | Name | Tags | Difficulty | Solved by | |
|---|---|---|---|---|---|
| ✓ | pr_ch06_q001 | Butterfly spread payoff and limit A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q002 | Long call short call same strike approximate Delta A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q003 | Forward difference approximation of f'(a) A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q004 | Central finite difference of f at a third derivative A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q005 | Non-symmetric central FD with order analysis A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q006 | Forward Euler ODE convergence A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q007 | Second order ODE finite difference A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q008 | ODE with f(x, Y(x)) A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q009 | Greeks of 6-month call from finite differences A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q010 | Plain vanilla call satisfies BS PDE A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q011 | Forward contract value f(S, t) satisfies BS PDE A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 |