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1、StochasticCalculusforFinance,VolumeIandIISolutionofExerciseProblemsYanZengAugust20,2007Contents1StochasticCalculusforFinanceI:TheBinomialAssetPricingModel31.1TheBinomialNo-ArbitragePricingModel.............................31.2ProbabilityTheoryonCoinT
2、ossSpace..............................61.3StatePrices..............................................101.4AmericanDerivativeSecurities...................................131.5RandomWalk.............................................161.6Interest-Rate-Depe
3、ndentAssets...................................192StochasticCalculusforFinanceII:Continuous-TimeModels232.1GeneralProbabilityTheory.....................................232.2InformationandConditioning....................................272.3BrownianMot
4、ion...........................................312.4StochasticCalculus..........................................342.5Risk-NeutralPricing.........................................472.6ConnectionswithPartialDi erentialEquations..........................5
5、62.7ExoticOptions............................................642.8AmericanDerivativeSecurities...................................662.9ChangeofNumeraire.........................................712.10Term-StructureModels...............................
6、........762.11IntroductiontoJumpProcesses...................................831Thisisasolutionmanualforthetwo-volumetextbookStochasticcalculusfor nance,byStevenShreve.Ifyouhaveanycommentsor ndanytypos/errors,pleaseemailmeatyz44@cornell.edu.Thecurrent
7、versionomitsthefollowingproblems.VolumeI:1.5,3.3,3.4,5.7;VolumeII:3.9,7.1,7.2,7.5{7.9,10.8,10.9,10.10.AcknowledgmentIthankHuaLi(agraduatestudentatBrownUniversity)forreadingthroughthissolutionmanualandcommunicatingtomeseveralmistakes/typos.IalsothankH
8、idekiMurakamiforpointingoutatypoinExercise4.3,VolumeII.2Chapter1StochasticCalculusforFinanceI:TheBinomialAssetPricingModel1.1TheBinomialNo-ArbitragePricingModel1.1.Proof.Ifwegettheupsate,thenX1=X1(H)=0uS0+(1+r)(X0 0S0);ifwegetthedownstate,thenX1=X1
