Task 1 (a) Use Bloomberg to estimate the prices and the Greeks of the following stock
Question # 00189357
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Updated on: 02/06/2016 07:16 PM Due on: 03/07/2016
Task 1 (a) Use Bloomberg to estimate the prices and the Greeks of the following stock index options Strikes 5,800 5,500 5,400 Call-3 months Put-6 months Note that these are FTSE-100 Index Options and the value of the index today is assumed to be 5,700. The options should be priced within the Black & Scholes framework using the following inputs: rate of interest 1.00%p.a., dividend yield 0.00%, and volatility 6.00% p.a. State clearly each necessary step requested to compute the price and the Greeks of the options above. (b) Write a short report with a critical summary of the results.
Task 2 Consider the Single Index Model (SIM). (a) State and comment on all the main assumptions underlying the SIM. (b) Use Bloomberg to collect data on 4 stocks. Assume that you invest an equal amount of your wealth on each stock and build up a portfolio. Estimate: (i) The beta of your portfolio; comment your empirical results (ii) The market risk and non-market risk; comment on your results. (iii) The covariace matrix; comment on your results State all your assumptions and computations
Task 2 Consider the Single Index Model (SIM). (a) State and comment on all the main assumptions underlying the SIM. (b) Use Bloomberg to collect data on 4 stocks. Assume that you invest an equal amount of your wealth on each stock and build up a portfolio. Estimate: (i) The beta of your portfolio; comment your empirical results (ii) The market risk and non-market risk; comment on your results. (iii) The covariace matrix; comment on your results State all your assumptions and computations
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Solution: Task 1 (a) Use Bloomberg to estimate the prices and the Greeks of the following stock