Use the Spectrum Brands dataset posted on Blackboard to value a 6-month call option with a...

  

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Use the Spectrum Brands dataset posted on Blackboard to value a 6-month call option with a $50 strike price. The current 6-month T-bill rate is 2.54%. For So, use the most recent price from the spreadsheet. You will need to calculate the stock's volatility from the data (slide 16 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for o calculation Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Option Price Comment on your findings, and pick which value you would use if you had to pick one, and why. Use the Spectrum Brands dataset posted on Blackboard to value a 6-month call option with a $50 strike price. The current 6-month T-bill rate is 2.54%. For So, use the most recent price from the spreadsheet. You will need to calculate the stock's volatility from the data (slide 16 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for o calculation Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Option Price Comment on your findings, and pick which value you would use if you had to pick one, and why.