Task
In this assignment, you will implement the Binomial Model, the Black & Scholes Model.
Instructions
- Use your textbook to answer the following questions from Chapter 14:
- Exercise 14 and 15.
- Please, upload xls, xlsx file.
- 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?
