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You need to estimate the Sigma for the stock of Ford Motor Company to estimate the value of its outstanding convertible bond. You collected the
You need to estimate the Sigma for the stock of Ford Motor Company to estimate the value of its outstanding convertible bond.
You collected the data below from the Bloomberg Terminal on November These are prices for call options on Ford stock that will expire on March The price of the Ford stock when you collected the data is shown in green letters at the top on the screen.
Use the Last Price for the call option with a $ strike price to iterate the Sigma on Ford stock on this date. The current yieldtomaturity on fourmonth Treasury Bills is The answer is in fractional units, round to two decimal places, eg
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