1. Please analytically derive the pricing formula of a derivative with payoff ST2 . (10 marks)

2. Substitute parameters into the pricing formula derived to get a result, please compare it with the price calculated based on a numerical method to check the correctness. (5 marks)

File Home Insert Design Layout References Mailings Review View Help Search & Share O Find 211 y Cut Be Copy Format Painter Calibri (Body) - 10.5 - AA Aa - BIU - abe x, x* A aby - A- AaBbccdd AaBbccdd AaBbc AaBbcc AaB AalbCcDc AaBbccdd AaBbccDd 1 No Spac... Heading 1 Heading 2 Subtle Em... Emphasis ac Replace Paste 1 Normal Title Subtitle Select- Clipboard Font 5 Paragraph Editing L 3.1.2.1.1.1. Slyles 11.1.2.1.3.1.4.1.5.1.5.1.3.1.8.1.9.1.10.1.11.1.12. 1:13.1.14. 15. 16. 17. 1) Please analytically derive the pricing formula of a derivative with payoff (ST). (10 marks) 2) Substitute parameters into the pricing formula derived to get a result, please compare it with the price calculated based on a numerical method to check the correctness. (5 marks) File Home Insert Design Layout References Mailings Review View Help Search & Share O Find 211 y Cut Be Copy Format Painter Calibri (Body) - 10.5 - AA Aa - BIU - abe x, x* A aby - A- AaBbccdd AaBbccdd AaBbc AaBbcc AaB AalbCcDc AaBbccdd AaBbccDd 1 No Spac... Heading 1 Heading 2 Subtle Em... Emphasis ac Replace Paste 1 Normal Title Subtitle Select- Clipboard Font 5 Paragraph Editing L 3.1.2.1.1.1. Slyles 11.1.2.1.3.1.4.1.5.1.5.1.3.1.8.1.9.1.10.1.11.1.12. 1:13.1.14. 15. 16. 17. 1) Please analytically derive the pricing formula of a derivative with payoff (ST). (10 marks) 2) Substitute parameters into the pricing formula derived to get a result, please compare it with the price calculated based on a numerical method to check the correctness