Reference no: EM131344166
Task 1(a) Use Bloomberg to estimate the prices and the Greeks of the following stock index options Strikes 5,800 5,500 5,400
Call-3months
Put-6months
Note that these are FTSE-100 Index Options and the value of the index today isassumed to be 5,700.
The options should be priced within the Black & Scholes framework using the following inputs: rate of interest 1.00% p.a., dividend yield 0.00%, and volatility 6.00% p.a. State clearly each necessary step requested to compute the price and the Greeks of theoptions above.
(b) Write a short report with a critical summary of the results.Task 2Consider the Single Index Model (SIM).
(a) State and comment on all the main assumptions underlying the SIM.
(b) Use Bloomberg to collect data on 4 stocks.
Assume that you invest an equal amount ofyour wealth on each stock and build up a portfolio.
Estimate:(i) The beta of your portfolio; comment your empirical results
(ii) The market risk and non-market risk; comment on your results.
(iii) The covariace matrix; comment on your resultsState all your assumptions and computations.
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