Here’s the list of assigned readings for next Tuesday’s class meeting:
- Hull Chapter 13 (“Binomial Trees”)
- Binomial Option Pricing Model (single-period)
- Multiple Period Binomial Option Framework
- Dynamic Delta Hedging Numerical Example (calls and puts)
- Dynamic Replicating Portfolio Numerical Example (calls and puts)
- Convergence of the Cox-Ross-Rubinstein (CRR) Binomial Option and Black-Scholes-Merton (BSM) Option Pricing Formulas
The two most important readings for next Tuesday’s Finance 4366 quiz and class meeting are Hull’s “Binomial Trees” chapter and my teaching note entitled “Binomial Option Pricing Model (single-period)”. Tuesday’s class meeting will be primarily devoted to covering the latter reading in particular, although the other readings are also quite important for the next few Finance 4366 class meetings.