Question 2 (35 points) Use the TD Ameritrade dataset posted on Blackboard to value a 6-month call option with a $48 strike price. The current 6-month T-bill rate is 1.59%. For So, use the most recent price from the spreadsheet. You will need to calculate the stocks volatility from the data (slide 10 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for o calculation Option Price Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Comment on your findings, and pick which value you would use if you had to pick one, and why. TD Ameritrade Data Date Adj Close 23/11/18 50.43724 26/11/18 51.87105 27/11/18 51.77352 28/11/18 52.61234 29/11/18 51.81253 30/11/18 52.48555 3/12/18 53.3634 4/12/18 50.45674 6/12/18 50.08609 7/12/18 48.35966 10/12/18 47.97926 11/12/18 47.95976 12/12/18 48.90588 13/12/18 47.66714 14/12/18 47.22822 17/12/18 46.75028 18/12/18 46.39914 19/12/18 46.23332 20/12/18 45.73587 21/12/18 45.39449 24/12/18 44.74097 26/12/18 47.04289 27/12/18 47.78418 28/12/18 47.46231 31/12/18 47.75493 2/1/19 47.95976 3/1/19 47.03314 4/1/19 48.8376 7/1/19 49.28628 8/1/19 50.00807 9/1/19 50.70059 10/1/19 50.26166 11/1/19 50.2324 14/1/19 50.14462 15/1/19 50.41773 88gagggg%98am8B8B89aa8558589% 16/1/19 53.04152 17/1/19 53.02201 18/1/19 54.00715 22/1/19 53.56822 23/1/19 53.69503 24/1/19 53.96814 25/1/19 54.87524 28/1/19 54.83624 29/1/19 55.0118 30/1/19 53.93887 31/1/19 54.57288 1/2/19 55.63605 4/2/19 56.2636 5/2/19 54.95947 6/2/19 54.4692 7/2/19 53.58671 8/2/19 53.14547 | 11/2/19 53.2043 12/2/19 54.50842 13/2/19 54.63589 114/2/19 54.42017 15/2/19 55.75371 19/2/19 55.85176 20/2/19 55.55761 21/2/19 55.09675 22/2/19 55.89099 25/2/19 55.41052 26/2/19 55.5478 27/2/19 55.39092 28/2/19 55.23403 1/3/19 56.2636 4/3/19 55.13597 5/3/19 55.02811 6/3/19 54.84181 7/3/19 53.53768 8/3/19 53.19449 11/3/19 53.5769 12/3/19 53.45924 13/3/19 53.54749 14/3/19 53.94951 15/3/19 53.89068 18/3/19 54.60648 19/3/19 54.32212 20/3/19 52.44928 21/3/19 51.08632 22/3/19 48.73302 25/3/19 48.35061 26/3/19 48.67419 27/3/19 48.3408 28/3/19 48.92913 29/3/19 49.01738 1/4/19 50.64508 2/4/19 51.06672 3/4/19 50.91963 4/4/19 51.32166 5/4/19 51.09613 8/4/19 51.56679 9/4/19 51.37068 10/4/19 51.46874 11/4/19 51.60601 12/4/19 52.67481 15/4/19 52.24336 16/4/19 52.94935 17/4/19 53.03761 18/4/19 52.4885 22/4/19 52.62577 23/4/19 53.2141 24/4/19 50.85099 25/4/19 51.11574 26/4/19 50.72352 29/4/19 51.86095 30/4/19 51.55698 1/5/19 51.54718 2/5/19 52.39045 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 1144 1145 146 147 148 3/5/19 52.43948 6/5/19 51.91686 7/5/19 51.82811 8/5/19 52.08448 9/5/19 52.65641 10/5/19 52.6071 13/5/19 50.75328 14/5/19 52.2324 15/5/19 50.79273 16/5/19 51.79852 17/5/19 51.97602 20/5/19 51.96616 21/5/19 51.78866 22/5/19 51.26605 23/5/19 50.56593 24/5/19 51.25618 28/5/19 50.05317 29/5/19 50.02359 30/5/19 50.00387 31/5/19 49.05724 3/6/19 49.31361 14/6/19 51.29563 5/6/19 51.62103 6/6/19 51.63089 7/6/19 51.38437 10/6/19 51.76894 11/6/19 51.55201 12/6/19 50.27011 13/6/19 50.38844 14/6/19 49.81651 17/6/19 49.21501 18/6/19 49.38265 19/6/19 48.59378 20/6/19 48.73183 21/6/19 49.2939 24/6/19 47.41049 25/6/19 47.61757 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 26/6/19 47.97255 27/6/19 48.89946 28/6/19 49.22487 1/7/19 49.6686 2/7/19 49.28404 3/7/19 49.57986 5/7/19 50.51663 87/19 49.56014 97/19 50.53635 10/7/19 49.31361 11/7/19 49.99401 12/7/19 50.26025 157/19 49.83624 16/7/19 50.23066 17/7/19 49.6686 18/7/19 50.31941 19/7/19 50.87161 22/7/19 51.67033 23/7/19 51.55201 24/7/19 51.71964 25/7/19 51.29563 26/7/19 51.32521 29/7/19 50.69412 30/7/19 50.66454 31/7/19 50.38844 1/8/19 48.98821 2/8/19 48.76141 5/8/19 46.40023 6/8/19 47.1443 7/8/19 45.34861 8/8/19 45.8645 19/8/19 44.3962 12/8/19 43.22553 13/8/19 44.06881 14/8/19 42.82869 15/8/19 42.75924 16/8/19 43.57276 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 19/8/19 43.44379 20/8/19 42.9279 21/8/19 43.52316 22/8/19 43.4934 23/8/19 42.57075 26/8/19 42.58067 27/8/19 42.16399 28/8/19 42.2632 29/8/19 43.52316 30/8/19 44.05889 3/9/19 43.69181 4/9/19 44.59462 5/9/19 45.78513 16/9/19 46.11252 9/9/19 47.50145 10/9/19 48.20584 11/9/19 48.68205 12/9/19 48.9896 13/9/19 49.34675 16/9/19 49.49556 17/9/19 49.62454 18/9/19 49.06896 19/9/19 49.26738 20/9/19 48.88047 23/9/19 48.67213 24/9/19 47.63042 25/9/19 48.06695 26/9/19 44.94185 27/9/19 46.59865 30/9/19 46.33078 1/10/19 34.39589 2/10/19 33.27483 3/10/19 32.59028 4/10/19 33.43356 7/10/19 33.69151 8/10/19 33.15577 9/10/19 33.50301 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 10/10/19 34.21732 11/10/19 35.00107 14/10/19 35.20941 15/10/19 36.13206 16/10/19 35.71538 17/10/19 36.04277 18/10/19 36.49913 21/10/19 37.35234 22/10/19 37.84838 23/10/19 38.44364 24/10/19 38.21545 125/10/19 38.34443 28/10/19 38.77103 29/10/19 38.78095 30/10/19 39.28692 31/10/19 38.07657 1/11/19 38.9 4/11/19 39.93 5/11/19 39.8 6/11/19 39.83 7/11/19 40.05 8/11/19 40.48 11/11/19 40.14 12/11/19 40.2 13/11/19 39.6 14/11/19 40.29 15/11/19 40.7 18/11/19 40.45 19/11/19 40.64 20/11/19 41.38 21/11/19 48.38 240 241 242 243 244 245 246 247 248 249 250 251 252 253