Consider the following price data for TanCo stock in two different subperiods Subperiod A 168 115 162 770 162 310 161 565 160 855 157 600 157 150 157 630 161 265 162 590 157 370 156 590 157 750 155 550 150 580 155 830 154 270 155 735 156 080 152 610 150 440 150 605 Subperiod B 122 635 124 730 121 730 120 870 119 595 118 450 117 585 119 340 122 310 121 670 120 090 117 725 118 445 115 540 117 670 117 830 118 860 117 805 114 845 110 715 For each subperiod, calculate the annualized historical measure of stock volatility that could be used in pricing an option for TanCo In your calculations, you may assume that there are 250 trading days in a year Do not round intermediate calculations Round your answers to four decimal places Period A Period B Suppose now that you decide to gather additional data for each subperiod Specifically, you obtain information for a call option with a current price of $12 65 and the following characteristics X 111 S 121 725 time to expiration 62 days RFR 6 92 and dividend yield 3 95 Here the risk free rate and dividend yields are stated on an annual basis Use the volatility measure from Subperiod B and the Black Scholes model to obtain the fair value for this call option Based on your calculations, is the option currently priced as it should be Assume 365 days in a year You may use Appendix D to answer the question Do not round intermediate calculations Round your answer to the nearest cent $ The market price of $12 65 is Select than the calculated BS price This implies that if all of the other parameters of the model are correct, the implied BS volatility is Select than the historical volatility Your options are higher or lower where it says select I give thumbs up

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Consider the following price data for TanCo stock in two different subperiods: Subperiod A : 168.115; 162.770; 162.310; 161.565; 160.855; 157.600; 157.150; 157.630; 161.265; 162.590;

Consider the following price data for TanCo stock in two different subperiods:

Subperiod A: 168.115; 162.770; 162.310; 161.565; 160.855; 157.600; 157.150; 157.630; 161.265; 162.590; 157.370; 156.590; 157.750; 155.550; 150.580; 155.830; 154.270; 155.735; 156.080; 152.610; 150.440; 150.605

Subperiod B: 122.635; 124.730; 121.730; 120.870; 119.595; 118.450; 117.585; 119.340; 122.310; 121.670; 120.090; 117.725; 118.445; 115.540; 117.670; 117.830; 118.860; 117.805; 114.845; 110.715

For each subperiod, calculate the annualized historical measure of stock volatility that could be used in pricing an option for TanCo. In your calculations, you may assume that there are 250 trading days in a year. Do not round intermediate calculations. Round your answers to four decimal places.

Period A:

Period B:
Suppose now that you decide to gather additional data for each subperiod. Specifically, you obtain information for a call option with a current price of $12.65 and the following characteristics: X = 111; S = 121.725; time to expiration = 62 days; RFR = 6.92%; and dividend yield = 3.95%. Here the risk-free rate and dividend yields are stated on an annual basis. Use the volatility measure from Subperiod B and the Black-Scholes model to obtain the "fair value" for this call option. Based on your calculations, is the option currently priced as it should be? Assume 365 days in a year. You may use Appendix D to answer the question. Do not round intermediate calculations. Round your answer to the nearest cent.

$

The market price of $12.65 is -Select- than the calculated BS price. This implies that if all of the other parameters of the model are correct, the implied BS volatility is -Select- than the historical volatility.
Your options are higher or lower where it says select
I give thumbs up!