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II. Download daily prices for Tesla for the period 10/22/2017 - 10/22/2020. Calculate the daily returns. Note, if you are using Yahoo!Finance, use Adj Close
II. Download daily prices for Tesla for the period 10/22/2017 - 10/22/2020. Calculate the daily returns. Note, if you are using Yahoo!Finance, use Adj Close to calculate returns. 1. Estimate the daily volatility using the full set of data. What is the value of volatility in an annualized form? 2. Estimate the daily volatility using last 180 days. What is the value of volatility in an annualized form? 3. Estimate the daily volatility using last 90 days. What is the value of volatility in an annualized form? 4. Price of Tesla on 10/22/2020 is $431. Consider a call option on Tesla with a strike price of $425 and maturity 3 months. Use the Black- Scholes formula to compute the call option price. Which of the estimated 3 volatilities will be best to use? Assume the risk-free rate is 1% 5. On the same day, the value of a put option with strike price of $500 and maturity of 3 months is $99.75. What is the implied volatility based on the Black Scholes model? Assume the risk-free rate is 1%
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