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Use Excel and anwer the question. The year-end values for the past 10 years of KOSPI200 are as follows(2010~2019). 271.19 238.08 263.92 264.24 244.05 240.38
Use Excel and anwer the question.
271.19 238.08 263.92 264.24 244.05 240.38 260.01 324.74 261.98 293.77
Compute the volatility per annum. The risk free rate is 3 percent per annum and the current value of KOSPI200 is 290. Use the Black-Scholes OPM and calculate the prices of European call and put options with a strike price of 285 and the time to maturity of 6 months. You also have to show the value of d1, d2, N(d1) and N(d2) in your answer (Ignore dividends).
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