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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).
Attachment:- Assignment.rar
You submit a soft- and a hardcopy of your work. You can work as a group of two. The hardcopy is aimed not to report data but results. If the results are not organized very well you will lose points. Write down each specific step(s) for calculating option and bond prices. Write down the function used for calculation. Assume that I do not know how to do the calculation and I will use your command(s) as a guide. For example: Suppose that I want to calculate the covariance of 2 arrays, then the command that I need to show is: = Covariance.s(D6,D150), The result is 1.5526. If you fail to show the commands for each step you will lose at least 5 points. This is a preparation for the final.
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