[944] HW7 solution of the last question

[Gautam Iyer]

On Fri, Dec 15, 2017 at 02:37:20PM -0500, Ze Yang wrote:

> 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.

Yes, you're right, thanks! I fixed it online.

Best,

Gautam

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