Black-Scholes model

1. Use the retrieval of volatility method to compute the initial value of the hedging portfolio of a European call option in the Black-Scholes model, with any parameters you wish to choose. Compare to the exact solution from the Black-Scholes formula.
2. Use the retrieval of volatility method to find the initial value of the optimal portfolio for maximizing the expected log-utility of terminal wealth E[log{Xx,p (T )}], in the BlackScholes model, with any parameters you wish to choose. Compare to the exact analytic solution derived in chapter 4.