 2021

Source: original released examination PDF, bundle pages 66–69; paper pages 1–4. The bundle filename says 2020, but the printed paper is dated 2 June 2021.

Solutions to all three questions. Write $\tau =T-t$, $\Phi$ for the standard normal distribution function, and $\varphi$ for the standard normal density. Formulas with $\tau$ in a denominator are for $t<T$; terminal values are specified separately. Barrier formulas refer to a contract whose barrier has not previously been hit, unless stated otherwise.