Reference no: EM132402430 , Length: word count : 2000
ECON 5009 Financial Markets, Securities and Derivatives , University of Glasgow, UK
Task 1
(a) Use Bloomberg to estimate the prices and the Greeks of the following stock index options
Strike 2955 2980 3015
Call - 29 days
Put - 56 days
Note that these are S&P 500 Index Options and the value of the index today is assumed to be 3000. The options should be priced within a Black-Scholes-Merton framework using the following inputs: rate of interest 1.00% per annum, dividend yield 0.00%, and volatility 14.00% per annum. State clearly each necessary step requested to compute the price and the Greeks of the options above.
(b) Write a short report with a critical summary of the results.
Task 2
(a) Describe and critically review the Single-Index Model.
(b) Use Bloomberg to collect data on 4 stocks from the S&P 500 Index. Assuming you form a portfolio by investing an equal amount of funds into each stock. Assume no dividends are paid. Estimate:
(i) The beta of your 4 stocks; comment on your results
(ii) The beta of your portfolio; comment on your results
(iii) The market risk and nonmarket risk; comment on your results.
Attachment:- data.rar
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