Question microsoft excel implied volatilityconsider the, Ask an Expert

Finance

Question: (Microsoft Excel) Implied Volatility

Consider the following data for computing option prices given to you by your professor.

1386_17.8.png

You want to know how this data was generated. The professor, when asked, apologizes and says, "I used a Jarrow-Rudd approximation but I lost the data. You are an Excel expert-why don't you use ‘Goal Seek' and determine what the volatility is?"

Following data for a single-period binomial model:

· A stock's price S is $50. After six months, it either goes up by the factor U = 1.22095341 or it goes down by the factor D - 0.79881010.

· Options mature after T = 0.5 year and have strike price K = $45.

· A dollar invested in the money market account earns continuously compounded risk-free interest at 2 percent per year.

View complete question

Basic Finance, Finance

Category:- Basic Finance
Reference No.:- M92266842

Have any Question?Write your Review or question?

Related Questions in Basic Finance

Assume that your brother wants to buy shares of either

Assume that your brother wants to buy shares of either Company A or B and is looking for your advice on how to use the financial statements of the companies to make his investment decisions. Which information in the fina ...

Barely heroes corporation has bonds on the market with 145

Barely Heroes Corporation has bonds on the market with 14.5 years to maturity, an YTM of 9 percent, and a current price of $850. The bonds make semiannual payments. What must the coupon rate be on Barely Heroes' bonds?

1 i dont understand what major benefits do corporations and

1. I don't understand what major benefits do corporations and investors enjoy because of the existence of organized security exchanges? 2. What is a dividend? 3. Within a corporation, who decides whether to pay dividen ...

Suppose that todays stock price is 5309 if the required

Suppose that today's stock price is $53.09. If the required rate on equity is 15.6% and the growth rate is 9.3%, compute the expected dividend (i.e. compute D1)

How does the review of cost records within a review of

How does the review of cost records within a review of project outcomes assist the organisation?

A client plans to send a child to college for 4 years

A client plans to send a child to college for 4 years starting 18 years from now. Having set aside money for the tuition, she decides to plan for room and board also. She estimates these costs at $20,000 per year, payabl ...

What is net present value in terms of evaluating a project

What is Net Present Value in terms of evaluating a project? What is better NPV or Internal Rate of Return when evaluating?

What is the formula to solve this problem in excelcomparing

What is the formula to solve this problem in excel... Comparing capital budgeting tools: Capital budgeting analysis of mutually exclusive projects A and B yields the following. What project should management choose? Expl ...

When when is it appropriate to use the wac as the discount

When when is it appropriate to use the wac as the discount rate in capital budgeting

A stock is trading at 78 per share the stock is expected to

A stock is trading at $78 per share. The stock is expected to have a year-end dividend of $5 per share (D1=$5), which is expected to grow at some constant rate g throughout time. The stock's required rate of return is 15 ...

4,153,160 Questions Asked
13,132 Experts
2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Recent Questions

Ask Basic Finance Expert