Chapter 14

Task 

In this assignment, you will implement the Binomial Model, the Black & Scholes Model. 

Instructions 

1. Use your textbook to answer the following questions from Chapter 14:
   1. Exercise 14 and 15.
2. Please, upload xls, xlsx file.
3. Please, use the full computing power of Excel.

14.    stock is currently trading at $24.35. Consider call and put options with a strike

of $25.00 expiring in 12 trading days (= 0.0476 years). Suppose that the volatility of

Microsoft stock is 40% and that the interest rate is 3%. What are the Black-Scholes

prices of the call and the put? What are the option deltas?

15.   GE stock is currently trading at $26.15. A call option with a strike of $25.00 and 12

trading days (= 0.0476 years) to expiry costs $1.56. Assuming an interest rate of 3%,

what is the implied volatility?