Price of call option using Black Scholes
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(I've added risk free rate, time to expiration, current price)
Date Open High Low Close Adj Close
2/17/2009 5.07 5.21 4.51 4.57 4.57
2/9/2009 6.57 7.05 5.35 5.57 5.57
2/2/2009 6.20 6.66 3.77 6.13 6.13
1/26/2009 6.46 7.81 6.00 6.58 6.58 I need to know, weekly log returns, weekly and annual standard deviation.
1/20/2009 6.48 6.88 5.05 6.24 6.24
1/12/2009 12.86 12.90 7.00 7.18 7.18 Based on the volatility price a June call option (one period) with exercise price of $5.
1/5/2009 14.38 14.81 12.95 12.99 12.99
12/29/2008 13.57 14.57 12.66 14.33 14.33
12/22/2008 13.90 14.01 12.72 13.36 13.36 Current Price 3.93
12/15/2008 15.05 15.39 13.51 13.80 13.80
12/8/2008 16.19 18.00 13.90 14.93 14.93 Risk Free Rate is not given, but I think it's $2.80 (10 year Us T-bill)
12/1/2008 15.59 15.60 12.77 15.24 15.24
11/24/2008 12.59 16.39 12.43 16.25 15.89 About the time of expiration is June, from today (I don't have other information)
11/17/2008 16.21 16.28 10.01 11.47 11.21
11/10/2008 21.05 21.14 14.88 16.42 16.05
11/3/2008 23.97 24.62 19.95 20.49 20.03
10/27/2008 20.87 24.17 20.02 24.17 23.63
10/20/2008 23.92 24.92 20.49 21.07 20.60
10/13/2008 23.78 27.21 21.65 23.24 22.72
10/6/2008 31.78 33.49 18.99 20.87 20.41
9/29/2008 36.70 38.50 30.25 34.48 33.71
9/22/2008 35.97 37.50 32.00 36.70 35.88
9/15/2008 28.23 39.50 25.00 37.48 36.65
9/8/2008 35.26 35.70 30.37 33.74 32.99
9/2/2008 32.73 33.14 29.82 32.23 31.51
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Solution Summary
Price of call option using Black Scholes option pricing model and Binomial model.
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