Answered step by step
Verified Expert Solution
Question
1 Approved Answer
3. Use your option pricer to fill in the table and create a graph of the volatility smile for the closing prices for TSLA call
3. Use your option pricer to fill in the table and create a graph of the volatility smile for the closing prices for TSLA call options on September 18, 2020 shown below using the mid price (the mid price is half-way between the bid and the ask). The expiration date is December 18, 2020, the closing price of TSLA was USD 442.15, and the risk-free rate is 0.1%/year. In the table below the strike, bid, and ask prices are in USD. mid Oimplied strike bid ask 100 338.70 346.65 200 243.90 252.00 300 164.55 171.75 400 108.90 113.90 500 75.00 76.85 600 48.60 53.30 700 37.00 38.35 800 25.00 28.75 Source: Yahoo Finance
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started