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Financial derivatives

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Issue:

Business

 

Written by:

Stephen L

 

Date added:

May 17, 2014

 

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Grade:

B

 

No of pages / words:

4 / 1092

 

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1788 times

 

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Latest price of the GDR is $16,29 (on 18 April,2008). To calculate volatility we used historical prices of the stock in the interval from 1 January until 18 April, and it is equal to 47,98%. Having all these figures we used Black-Scholes formula and found out the price of put option, which is $0,79. We also checked it on DerivaGem program...
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Having all these figures we used Black-Scholes formula and found out the price of put option, which is $0,79. We also checked it on DerivaGem program. 1. X 13,1 Strike Price S 16,29 Stock Price T 0,75 Time r 2,64% 9-Month LIBOR sigma 47,98% Volatility d1 0,779909502 -0,779909502 d2 0,364390513 -0,364390513 N(d1) 0,782277927 N(d2) 0,642216791 N(-d2) 0,357783209 N(-d1) 0,217722073 p 1,048378375 The calculation of volatility is in Excel’s file...
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