瑞典期权分析和计算题目

论文题目：期权分析和计算

论文语言：英语论文 English

论文专业：金融

字数：2页

学校国家：瑞典

是否有数据处理要求：是

您的学校：

论文用于：BA assignment 本科课程作业

补充要求和说明：

需要用到excell软件

You have also been approached by a friend who is evaluating an investment problem. Knowing that you have studied finance, you are asked to help him answering the below questions. 

Choose 1 firm that is listed on New York Stock Exchange or Nasdaq. Your task is to calculate the theoretical price for two call options; one exercising in approximately 1 month and one exercising later than 3 months from now using the Black-Scholes pricing formula.  Look up options for your firm via yahoo finance (finance.yahoo.com) that match these exercise times. Options are found as a heading on the left-hand side under on your screen when you are at the main page for the firm at yahoo finance. 

Use yahoo finance to download 1 year of historical stock prices for the firm you have chosen to calculate the historical volatility of the stock. The volatility calculation shall be based on the daily returns. You need to annualize the volatility measure选择是列出的在纽约证券交易所或纳斯达克1公司。你的任务是计算的理论价格两个看涨期权，一个行使在约1个月，从现在使用Black- Scholes定价公式后3个月内1行使。通过雅虎财经（ finance.yahoo.com ）符合这些演习倍，仰望你的公司选择。选项​​当你在为公司在雅虎财经的主页被发现为在你的屏幕上的左手边一个标题。


Assume that the yield on a 3 month US governmental treasure bond is 1%. Annualize this yield for the use of it in the option valuation model. Note that the downloaded file is a.csv-file. You need to rename it to a.txt file before open it in Excel. Use the file as a clipboard and make all your calculations in a separate Excel workbook.假设在3个月美国政府宝债券收益率是1 ％ 。年化收益率这在期权定价模型中使用它。请注意，下载的文件是a.csv文件。你需要重新命名它之前A.TXT文件在Excel中打开它。使用该文件作为一个剪贴板，并让所有的计算在一个单独的Excel工作簿。

Use yahoo finance to look up the market prices for your two call options to compare with your theoretical prices.

Write a 2 page report where you analyze the differences in the market prices for the options and the differences between your theoretical prices and the market prices. The analysis shall point out reasons for why there are differences between the prices. Use chapters 20-21 in Berk and DeMarzo “Corporate Finance” as reference for the analysis and calculations.

Solve the assignment individually Microsoft Excel (or similar) and write the report using Microsoft Word. Use the uploaded template for assignment 3 when solving the assignment and clearly state your names (surname in capital letters), student numbers (Swedish social security number) and email in the workbook where stated. State the same in word document

Deadline: June the 9:th at 24:00 by uploading it to First Class classroom.