Solutions (and Spreadsheet) for Solving the 1-timestep Delta Hedging, Replicating Portfolio, and Risk Neutral Valuation Class Problem Set

1. Here are the (fully written out) solutions for this class problem.  Pages 1-3 explain (correctly as well as in considerable detail) the delta hedging approach for 1 timestep calls and puts.

2. Here is the spreadsheet we used in class today; while it only provides solutions for the replicating portfolio and risk neutral valuation methods, the worksheets contained therein also carry out 2 timestep calculations for both of these methods.

Click to access OneTimestepSolutions.pdf

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