[944] Last homework

[Gautam Iyer]

Hi All,

Your last homework is online. (Solutions to todays homework will go
online tomorrow after the due date.)

The last homework is due one week from today (Dec 6th). Since your
**FINAL** is on Dec 8th, there will be no 24 hour late extension for
this homework, and solutions will post on Dec 6th after class.

About the question Asian options in the homework that was due today,
many of you asked me about it and did it using the multi-dimensional Itô
formula. While this is correct, you don't need it for this problem! The
process Y is differentiable in time. So you can set

    g(t, x) = f(t, x, Y_t)

and note

    X_t = g(t, S_t).

Now you can apply the one dimensional Itô formula, and work the problem
out. (See the solutions for details when the post tomorrow.) Of course,
using the multi-dimensional Itô formula is correct, and will give the
same answer.

I plan to finish the material on Thursday this week. I will shortly post
finals from the last 3 years and solutions, and do a review on Tuesday
next week.

NY students: I will be in NY on Dec 6th, and will be available after
class until my flight leaves (2:30PM, I think). Diffy may feed you
lunch.

We will also have Zoom office hours on Tue/Wed next week. I will get
your schedule from Diffy/Jess and announce times later this week.

Best,

Gautam

-- 
Did you hear about the cheese factory that exploded in france? There was
nothing but des brie.