Consider Apple Inc. as the underlying asset, use its daily adjusted closing prices from August 12,...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Consider Apple Inc. as the underlying asset, use its daily adjusted closing prices from August 12, 2019 to August 11, 2020 as historical data. 1. Estimate the daily standard deviation of the returns of this stock. 2. Deduce the yearly standard deviation. Consider the yearly standard deviation as the volatility of the stock and use the rate r = 0.0125 as annual risk-free rate. Assume you want to build a portfolio of options containing one call option with strike K1 = 420, and one put option with strike K2 = 460. Let C1(t, x) denotes the call option pricing function. Let P2(t, x) denotes the put option pricing function. Let the maturity T = 12 months. Using the adjusted closing price of August 11, 2020 as the initial stock price. 3. Compute the option prices C1, P2 on that date. Consider Apple Inc. as the underlying asset, use its daily adjusted closing prices from August 12, 2019 to August 11, 2020 as historical data. 1. Estimate the daily standard deviation of the returns of this stock. 2. Deduce the yearly standard deviation. Consider the yearly standard deviation as the volatility of the stock and use the rate r = 0.0125 as annual risk-free rate. Assume you want to build a portfolio of options containing one call option with strike K1 = 420, and one put option with strike K2 = 460. Let C1(t, x) denotes the call option pricing function. Let P2(t, x) denotes the put option pricing function. Let the maturity T = 12 months. Using the adjusted closing price of August 11, 2020 as the initial stock price. 3. Compute the option prices C1, P2 on that date.
Expert Answer:
Answer rating: 100% (QA)
Part 1 To Calulate daliy standard deviation of of the return follow the following step 1 Take data o... View the full answer
Related Book For
Making Hard Decisions with decision tools
ISBN: 978-0538797573
3rd edition
Authors: Robert Clemen, Terence Reilly
Posted Date:
Students also viewed these operating system questions
-
You want to build a 90% confidence interval estimate of a population mean. You take a sample of size 100, and find a sample mean of 1300. If the population standard deviation is 25, calculate the a....
-
You want to build a cyclotron to accelerate protons to a speed of 3.0 107 m/s. The largest magnetic field strength you can attain is 1.5 T. What must be the minimum radius of the dees in your...
-
You want to build a box fort with a square base, but you don't have an already-constructed box. You do, though, have 48ft 2 of cardboard and a lot of duct tape, i.e. you can cut up your card Board...
-
when taking a lead role for supplier selection can often help Multiple select question. establish supplier quality standards. determine price. develop the engineering specifications. set conditions...
-
Patricia French received $500,000 from an insurance company after her husband's death. Patricia wants to deposit this amount in a savings account that earns interest at a rate of 5% compounded...
-
Trace Algorithm 4 when it is given m = 5, n = 11, and b = 3 as input. That is, show all the steps Algorithm 4 uses to find 311mod 5.
-
How and why does the architecture of the information system differ from software architecture?
-
Snowy Mountain manufactures snowboards. Its cost of making 19,000 bindings is as follows: Direct materials ............................................................................... $ 22,000...
-
This house is new and how to set up the network in this house? CLOSET BATH 3 CLOS MASTER BATH SITTING 8'6"X7'0" BALCONY 10'4"x5'8" MASTER WARDROBE MASTER SUITE 18'0"x14'0" UTILITY LIFT DEN...
-
The data file agstrat.dat also contains information on other variables. For each of the following quantities, plot the data, and estimate the population mean for that variable along with its standard...
-
A trapezoid has an area of 60 square feet and a height of 6 feet. If one base is Trapezoid 2 feet, what is the length of the other base?
-
What molecular and cellular mechanisms underlie the intricate process of embryonic patterning, including axis specification, morphogen gradients, and transcriptional regulation, during early...
-
What are the roles of genetic and epigenetic regulation in coordinating developmental processes, including cell fate specification, tissue differentiation, and organogenesis, and how do alterations...
-
How do post-transcriptional and post-translational regulatory mechanisms, such as microRNA-mediated gene silencing and protein modification, contribute to the fine-tuning of developmental processes,...
-
Jake just quit his job as a shoe salesman and is looking for work as an accountant, which is what his college degree is in. Jake would be considered?
-
recording a lon term lease as an operating lease as opposed to a capital lease what will cause for a lease are the debt to equity will be higher than total asset turnover? Explain.
-
Given M, find M1 and show that M1 M=I. M = 3-5 [43] -4 4 7
-
Describe the general ways that the revised Form 990, applicable for tax year 2008 and beyond, is different from previous versions.
-
You are acting in a consulting capacity advising a limited partner in a real-estate partnership. The partnership has negative income because of high vacancy rates and discounts on lease rates in the...
-
Refer to the discussion of the automobiles in the section on "TradingOff Conflicting Objectives: The Basics." We discussed switching first from the Standard to the Norushi, and then from the Norushi...
-
Explain in your own words the idea of risk tolerance. How would it apply to utility functions other than the exponential utility function?
-
For the particular case of hard spheres, the pressure in the virial equation of state is determined by evaluating the pair correlation function at contact. Write the pair correlation function as...
-
Use a virial expansion approach to determine the first few nontrivial order contributions to the pair correlation function \(g(r)\) in \(d\) dimensions. Show that the pair correlation function is of...
-
Show that, in the case of a degenerate gas of fermions \(\left(T \ll T_{F} ight)\), the correlation function \(g(r)\), for \(r \gg \hbar / p_{F}\), reduces to the expression \[g(r)-1=-\frac{3(m k...
Study smarter with the SolutionInn App