Compute the parameters of black-sholes model

Assignment Help Computer Engineering
Reference no: EM131347709

Assignment - Computer Application for Accounting and Finance Black-Sholes model and Vasicek model

Using historical data for the five companies and assuming that the strike price K is lower than current stock price by 2 dollars and then risk free rate is 3%, find the following.

1. The value of a 5-year call option price written on those stocks. First, you need to compute the parameters of Black-Sholes model (T, SIG, ...).

2. Use Vasicek model to compute a 2-year bond price. The data on T-bill rates are sufficient to do the computation. You need to compute the parameters of Vasciek model first (ALPHA, BETA, SIG).

Attachment:- Assignment.rar

Reference no: EM131347709

Questions Cloud

About the company through its segmented data : Find the financial statements for a publicly traded company that provides segmented financial information. Prepare an overview (approximately 300 words) of what is revealed about the company through its segmented data. Post a link to the financial st..
What is bonds coupon rate : ABC Inc. just issued a twenty-year semi-annual coupon bond at a price of $1,000. The face value of the bond is $1,000, and the market interest rate is 9%. What is the bond's coupon rate?
Find the current yield on this bond : A 20-year bond with X% annual coupons has a face value of $1,000. The price of the bond is $1, 050. The interest rate is 8% convertible semiannually. Assume redemption value equals par value. Find the current yield on this bond.
Evaluate generation project with the cash flows : Light Sweet Petroleum, Inc., is trying to evaluate a generation project with the following cash flows: Year Cash Flow 0 –$ 39,400,000 1 63,400,000 2 – 12,400,000 a-1 What is the NPV for the project if the company requires a return of 10 percent?
Compute the parameters of black-sholes model : Using historical data for the five companies and assuming that the strike price K is lower than current stock price by 2 dollars and then risk free rate is 3%, find the following. The value of a 5-year call option price written on those stocks. Fi..
Why would the drug maker want to stymie generic competition : AIU BUSN310- Why would the drug maker want to stymie generic competition? Explain. What types of legal barriers to market entry exist? What are the possible ethical dilemmas present in this example?
Retirement plan by considering two investment plans : Assume that you are setting up your retirement plan by considering two investment plans together. (Your retirement in 20 years). You want to earn a total of $1,000,000 after 20 years from the following two investment plans together.
Net present value and rate of return generated : Solitaire Machinery is a Swiss multinational manufacturing company. Currently, Solitaire's financial planners are considering undertaking a 1-year project in the United States. what is the net present value and rate of return of the project for Solit..
Retirement plan by considering two investment plans : Assume that you are setting up your retirement plan by considering two investment plans together. (Your retirement in 20 years). You want to earn a total of $1,000,000 after 20 years from the following two investment plans together.

Reviews

len1347709

1/9/2017 11:31:09 PM

You submit a soft- and a hardcopy of your work. You can work as a group of two. The hardcopy is aimed not to report data but results. If the results are not organized very well you will lose points. Write down each specific step(s) for calculating option and bond prices. Write down the function used for calculation. Assume that I do not know how to do the calculation and I will use your command(s) as a guide. For example: Suppose that I want to calculate the covariance of 2 arrays, then the command that I need to show is: = Covariance.s(D6,D150), The result is 1.5526. If you fail to show the commands for each step you will lose at least 5 points. This is a preparation for the final.

Write a Review

 

Computer Engineering Questions & Answers

  Problem on boolean calculator

Problem on Boolean Calculator

  Write down a function that uses a switch statement

An airline vice president in charge of operations needs to find out whether the current estimates of flight times are accurate. because there is a larger possiblity of variations due to wether and air traffic in the longer flights, he allows a larg..

  Immediate determination of controllability

Under what conditions can inspection of the signal-flow graph of a system yield immediate determination of controllability?

  Make a class named order that performs order processing

build 4 Order class fields: order number, customer name, quantity ordered, and total price. Create public accessors for each field except total price.

  Identify a specific operating system and version

Operating System. Identify a specific operating system and version: MS Office is NOT an operating system. It is an application suite for productivity. Remember, you are recommending a Mac and MS Office itself is not able to be loaded on a Mac

  Assume that you have a dictionary

assume that you have a dictionary whose words are not sorted in alphabetical order. As a function of the number, n of words, what is the efficiency of searching for a particular word in the dictionary.

  Risk assessment of ict system

Risk Assessment of ICT System and Developing Computer Incident Response System on WAMP platform

  Design a relational database of your choice

make a relational database of your choice (HR database, Retail outlet database, Address book database are examples). The database should contain no more than 6 tables.

  Design a powerpoint presentation based on the scenario

design a PowerPoint presentation based on the scenario. You have been asked to present tips on time management skills to new students at an online university. Your group will work together to organize and create a presentation with your advice.

  Explain about virtualisation technology

Describe your reasoning for choosing the virtualisation technology and what advantages this technology gives you in this scenario - what are the disadvantages/limitations of this technology?

  Create databases to manage all audio video and photo data

Create small databases to manage all audio, video and photo data. Create and edit audio and video files and share video and audio files via emails, instant messaging, and in chat rooms via mobile devices.

  Make numeric buttons for numbers input

create the Calculate button the Accept button.make numeric buttons for numbers input

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd