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Python for Finance by Yuxing Yan

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Exercises

1. What is the difference between an American call and a European call?

2. What is the unit of rf in the Black-Scholes-Merton option model?

3. If we are given the annual rate of 3.4 percent, compounded semi-annually, what will the value of rf be that we should use for the Black-Scholes-Merton option model ?

4. How do we use options to hedge?

5. How do we treat predetermined cash dividends to price a European call?

6. Why is an American call worth more than a European call?

7. Assume you are a mutual fund manager and your portfolio's β is strongly correlated with the market. You are worried about the short-term fall in the market. What you could do to protect your portfolio?

8. The current price of stock A is $38.5 and the strike prices for ...

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