Week 8 Flashcards
1
Q
Tower property
A
2
Q
Derive Feynman Kac formula
A
3
Q
Model stock price with BS
A
4
Q
Derive for BS Model
A
5
Q
Derive dynamics of self financing portfolio in continuous time from discrete time
A
6
Q
Derive Black Scholes equation/ PDE
A
7
Q
Steps to solve black scholes PDE
A
8
Q
Write and then rewrite ODEs
Then equivalently for SDEs
A
9
Q
Geometric Brownian motion satisfies SDE of what form
A
