The solution to 2(iii) says: the price of the call is: = 29.5031 x 0.6205 - 29 exp(-0.125 x 0.05) x 0.5645 does anyone else think that (T-t) should be 0.3333 (as used to calculate d1,d2)?
Definitely Gareth. You can show this using put call parity with adjusted S* and new Ct & Pt. Sorry for tardiness! I feel like a condemned man right now!
More mistakes in CiD Specimen paper While we're looking at this paper, I expect you've also spotted mistakes in Q3(ii) [0.833 should be 0.0833] and Q7(ii) [+ against stock price for a put should be -]
certainly remember that first one mike. Can't remember the second (there's just, ahem, so many ) Cheers
Oh actually I do remember it now. That was the chart of sensitivites wasn't it. You'd have thought they could have got it right - they only had to copy it straight from hull!
