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What is Comm 477 Options and Arbitrage Assignment about?

This document provides instructions for a Comm 477 assignment due on November 22, 2017. The assignment consists of 7 problems related to option pricing and portfolio management. Students are to work individually and submit typed answers. Partial credit will be given for logically correct reasoning. The problems cover constructing portfolios with zero delta and gamma, implied volatility graphs, arbitrage opportunities, put-call parity, binomial option pricing, valuation and replication of puts, Black-Scholes

Author

ashibhallau

Language

EN