Typo in solution of Ex 4.6

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Typo in solution of Ex 4.6

Postby serapio » Mon Dec 19, 2016 10:12 am

I believe the derivative with respect to time in the solution to Ex 4.6 is wrong in two ways. The volatility is missing and the exponent is incorrect. I believe it should read dC/dt = -0.2*S*sigma*(T-t)^(-1/2).
serapio
 
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