| Asgn 9: Option Black Schole model |
| 1. From Yahoo Finance or other website, find one stock and its options. |
| Pick one call option with expiration date at least 4 months or later |
| Take an image shot of your chosen call option, and paste the information below |
| 2. Find historical stock price data ( 2 years of daily stocks), then compute daily stock standard deviation, then convert it to annual standard deviation |
| 3. Use Black Schole model, compute your call option value. Assume risk free rate is 2%. |
| 4. Pick one factor that affects call value: strike price, stock price on expiration, risk free rate,standard deviation,maturity; |
| conduct a sensitivity analysis of call value against this variable; |
ebrahimshirmo
homework9.xlsx
