<div dir="ltr">Hi professor,<div><br><div><br></div><div>In the solution of Q3 of HW7, you write</div><div><img alt="V(t) = e^{(r-r')\tau}\mathbb{E}\left[e^{-r'\tau}(S_T^2 - K)^+ \middle|\mathcal{F}_n\right]" title="V(t) = e^{(r-r')\tau}\mathbb{E}\left[e^{-r'\tau}(S_T^2 - K)^+ \middle|\mathcal{F}_n\right]" class="va_li" src="https://latex.codecogs.com/gif.latex?%5Cdpi%7B300%7D%5Cinline%09V(t)%09=%09e%5E{(r-r')%5Ctau}%5Cmathbb{E}%5Cleft[e%5E{-r'%5Ctau}(S%5FT%5E2%09-%09K)%5E%2B%09%5Cmiddle|%5Cmathcal{F}%5Fn%5Cright]" id="l0.2615957705956773" style="display: inline; vertical-align: -10.634px;" height="30" width="274"> to substitute r' into the original BS formula, and take advantage of it. It appears to me that there's a typo here: the factor out of the expectation should be <img alt="e^{(r'-r)\tau}" title="e^{(r'-r)\tau}" class="va_li" src="https://latex.codecogs.com/gif.latex?%5Cdpi%7B300%7D%5Cinline%09e%5E{(r'-r)%5Ctau}" id="l0.4502780828113766" style="display: inline;" height="15" width="50">, and consequently, the final answer is slightly different.</div></div><div><br></div><div><br></div><div>What do you think? Thanks!</div></div>