Question
(a) Calculate the implied volatility for each of the call and put options listed. You can back the answers out of the BlackScholesMerton spreadsheet by
(a) Calculate the implied volatility for each of the call and put options listed. You can back the answers out of the BlackScholesMerton spreadsheet by trial and error or by setting it up in Solver. Write your answers in unit of percentage points.
No. 1. Call Implied Volatility
No. 1. Put Implied Volatility
(b) For the call and put options with a strike price of $4675.00, estimate the option values when volatility decreases to 0.8 times the implied volatility in part (a), and when it increases to 1.2 times the implied volatility in part (a).
No. 4. Call Price with 80% Implied Volatility
No. 4. Put Price with 120% Implied Volatility
On November 42021 , the following options data was available on the SP500. Assume that the index is at $4670.00, that the risk-free rate is 0.54% on a continuous annual basis, and that the dividend yield is 1.95% on a continuous annual basis. Base your calculations on the last trade value and the last traded prices of the put or call, and use an Actual/365 day count convention. (a) Calculate the implied volatility for each of the call and put options listed. You can back the answers out of the BlackScholes-Merton spreadsheet by trial and error or by setting it up in Solver. Write your answers in unit of percentage points. On November 42021 , the following options data was available on the SP500. Assume that the index is at $4670.00, that the risk-free rate is 0.54% on a continuous annual basis, and that the dividend yield is 1.95% on a continuous annual basis. Base your calculations on the last trade value and the last traded prices of the put or call, and use an Actual/365 day count convention. (a) Calculate the implied volatility for each of the call and put options listed. You can back the answers out of the BlackScholes-Merton spreadsheet by trial and error or by setting it up in Solver. Write your answers in unit of percentage pointsStep by Step Solution
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