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Option pricing symantec corporation stock optionsconsider

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Reference no: EM13373219

Option Pricing: Symantec Corporation Stock Options

Consider the call and put options on the stock of Symantec Corporation with Exercise Price equal to $19 and expiration date on October 18, 2014.

1. Download three months of daily returns for Symantec Corporations. Use this data to estimate the sigma for the Binomial and Black-Scholes models.

2. Use the Binominal Model to value the Call, assuming that the option is European and that the year is subdivided in 250 periods.

3. Use the Binominal Model to value the Put, assuming that the option is European and that the year is subdivided in 250 periods.

4. Use the Black-Scholes Model to value the Call.

5. Use the Black-Scholes Model to value the Put.

6. Estimate the implied volatility considering both the Call and the Put prices.

7. Use the Binominal Model to value the Call, assuming that the option is American and that the year is subdivided in 250 periods.

8. Use the Binominal Model to value the Put, assuming that the option is American and that the year is subdivided in 250 periods.

9. Discuss your results in a summary report.

Reference no: EM13373219

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