Question
Choose a United States equity whereby its options are listed on the Chicago Board Options Exchange (CBOE). The data for prices is in the delayed
Choose a United States equity whereby its options are listed on the Chicago Board Options Exchange (CBOE). The data for prices is in the "delayed quotes" menu of www.cboe.com . Key in a ticker symbol for your equity preference and extract the data on option prices. Utilising daily stock price data from finance.yahoo.com, calculate the annualised standard deviation of the daily percentage change in the equity price. Generate a Black-Scholes option pricing model in a spreadsheet. Using the standard deviation and a risk-free rate found at https://www.bloomberg.com/markets/rates-bonds/government-bonds/us, calculate the value of the call options. How do the calculated values compare to the market prices of the options ? On the basis of the difference between the price you calculated utilising historical risk and the actual price of the option, what do you conclude about expected trends in systematic risk ? Explain in paragraph with details.
Step by Step Solution
3.34 Rating (148 Votes )
There are 3 Steps involved in it
Step: 1
Answer To begin with lets choose a United States equity with options listed on the Chicago Board Opt...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