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Assignment - Computer Application for Accounting and Finance Black-Sholes model and Vasicek model

Using historical data for the five companies and assuming that the strike price K is lower than current stock price by 2 dollars and then risk free rate is 3%, find the following.

1. The value of a 5-year call option price written on those stocks. First, you need to compute the parameters of Black-Sholes model (T, SIG, ...).

2. Use Vasicek model to compute a 2-year bond price. The data on T-bill rates are sufficient to do the computation. You need to compute the parameters of Vasciek model first (ALPHA, BETA, SIG).

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Computer Engineering, Engineering

Category:- Computer Engineering
Reference No.:- M92101274

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