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IBM European Call Option Price

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Day IBM Stock Price IBM European Call Option Price IBM European Put Option Price DESCRIPTION OF DATA
1 122.69 0 3.19 Column A represents the Time, in days. There are 30 days.
2 120.36 0 5.22 Column B is the IBM Stock Prices during 30 days
3 120.11 0 5.35 Column C is the IBM Call Option Prices during 30 days.
4 120.65 0 5.12 Column D is the IBM Put Option Prices during 30 days.
5 121.5 0 4.12
6 122.87 0 2.29 The Call and the Put prices are based on an
7 120.61 0 4.63 Ecercise price of $125.00, and a Maturity of one month
8 120.56 0 4.67
9 121.16 0 4.32
10 121.29 0 4.12 A European Call Option on an Underlying Asset (Stock)
11 123.1 0.22 0 is an agreement (a right) that gives its owner the right to buy
12 123.49 0.51 0 that asset (from the Underwriter) at a certain price (Exercise Price),
13 126 1.24 0 and at a certain time (Maturity).
14 126.91 1.75 0
15 127.19 1.89 0 A European Put Option on an Underlying Asset (Stock)
16 126.26 1.69 0 is an agreement (a right) that gives its owner the right to sell
17 127.03 1.87 0 that asset (to the Underwriter) at a certain price (Exercise Price),
18 128.21 2.14 0 and at a certain time (Maturity).
19 128.63 2.56 0
20 128.15 2.22 0
21 127.54 2.03 0 1. Construct a scatter plot of Stock Prices versus Time (Days).
22 126.96 1.97 0 2. Construct a line plot of Stock Prices versus Time.
23 128.2 2.15 0 3. Determine the equation of the regression line and the coefficient of determination
24 127.93 2.05 0 for the scatter plot of #1 above. Interpret these values.
25 127.28 1.98 0 4. Construct a scatter plot of the Call option prices versus time; find the regression line.
26 127.28 1.99 0 5. Construct a scatter plot of the Put option prices versus time; find the regression line
27 125.7 0.95 0 6. Construct a scatter plot of the Call prices versus the Stock prices; find the regression line.
28 126.35 1.79 0 7. Construct a scatter plot of the Put prices versus the Stock prices; find the regression line.
29 127.94 2.96 0 8. Find the coefficient of determination for parts 6 and 7 above. Interpret their values.
30 127.21 2.21 0 9. According to the results above, describe how is the prices of a put and Call options change
when the stock price changes ( i.e., how an increse/decrese in stock price influences the call
price, and the put price?) How reliable is your finding?

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Solution Preview

See the attached file.

For question 2 the required line plot of stock prices vs time is given. I don't know whether you meant a scatter plot joined by lines. In that case there is one more problem. In all the scatter plots given to you, the points are joined by lines. So I am providing another file (Answer 131209 New) with scatter plots without joining the lines.

This is a question of ...

Solution Summary

The expert examines IBM European call option prices.

$2.19