For example, for the CitiGroup P = 549.60, X=$30, and call option price is $21.10, expiration date is DEC 2013 3 months, t = 3/12 = 0.25 Standard Deviation - To obtain standard deviation, you need to calculate the standard deviation of the underlying stock retum. Download the historical stock price of the stock you are interested for the most recent 12 months. Calculate the return and standard deviation U? The up-factor can be approximated U ovt D-01/0 Where U21 and OSD SI Ri=? The most recent T-bill rate can be obtained from yahoo finance and be used as the risk-free rate For example, for the CitiGroup P = 549.60, X=$30, and call option price is $21.10, expiration date is DEC 2013 3 months, t = 3/12 = 0.25 Standard Deviation - To obtain standard deviation, you need to calculate the standard deviation of the underlying stock retum. Download the historical stock price of the stock you are interested for the most recent 12 months. Calculate the return and standard deviation U? The up-factor can be approximated U ovt D-01/0 Where U21 and OSD SI Ri=? The most recent T-bill rate can be obtained from yahoo finance and be used as the risk-free rate