[944] HW7 solution of the last question

[Ze Yang]

Hi professor,


In the solution of Q3 of HW7, you write
[image: V(t) = e^{(r-r')\tau}\mathbb{E}\left[e^{-r'\tau}(S_T^2 - K)^+
\middle|\mathcal{F}_n\right]] 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 [image: e^{(r'-r)\tau}],
and consequently, the final answer is slightly different.


What do you think? Thanks!
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