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William Webster Homework - 3.02-0.0258064516...

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Date Stock price Volatility Days to Maturity 9/24/2014 3.01 1.05000 7 9/23/2014 3 1.05000 8 9/22/2014 3.05 1.05000 9 9/19/2014 3.06 1.05000 10 9/18/2014 3.08 1.05000 11 Stock= ZYNG Date Adj Close Standard Dev. 9/24/2014 3.01 0.0033333333 9/23/2014 3 -0.0163934426 9/22/2014 3.05 -0.0032679739 9/19/2014 3.06 -0.0064935065 9/18/2014 3.08 -0.0222222222 9/17/2014 3.15 0.0430463576 9/16/2014 3.02 0.0413793103 9/15/2014 2.9 -0.0068493151 9/12/2014 2.92 -0.0068027211 9/11/2014 2.94 -0.016722408 9/10/2014 2.99 0.013559322 9/9/2014 2.95 -0.0231788079 9/8/2014 3.02 -0.0194805195 9/5/2014 3.08 0.0098360656 9/4/2014 3.05 0.0132890365 9/3/2014 3.01 0 9/2/2014 3.01 0.0379310345 8/29/2014 2.9 0.0069444444 8/28/2014 2.88 0 8/27/2014 2.88 -0.0237288136 8/26/2014 2.95 -0.0199335548 8/25/2014 3.01 -0.0227272727 8/22/2014 3.08 0.0065359477 8/21/2014 3.06 -0.0192307692 8/20/2014 3.12 0.0032154341 8/19/2014 3.11 0.0097402597 8/18/2014 3.08 0.058419244 8/15/2014 2.91 0.0210526316 8/14/2014 2.85 0.0070671378 8/13/2014 2.83 -0.0104895105 8/12/2014 2.86 0.0035087719 8/11/2014 2.85 -0.0104166667 8/8/2014 2.88 -0.0136986301 8/7/2014 2.92 0.0465949821 8/6/2014 2.79 -0.0210526316
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8/5/2014 2.85 0.0035211268 8/4/2014 2.84 -0.0104529617 8/1/2014 2.87 -0.0171232877 7/31/2014 2.92 0 7/30/2014 2.92 -0.0034129693 7/29/2014 2.93 -0.0298013245 7/28/2014 3.02 0.0066666667 7/25/2014 3 -0.0131578947 7/24/2014 3.04 -0.0065359477 7/23/2014 3.06 0.0065789474 7/22/2014 3.04 -0.0193548387 7/21/2014 3.1 0.0163934426 7/18/2014 3.05 -0.0097402597 7/17/2014 3.08 0.0198675497
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Unformatted text preview: 7/16/2014 3.02-0.0258064516 7/15/2014 3.1-0.0251572327 7/14/2014 3.18-0.0185185185 7/11/2014 3.24 0.0384615385 7/10/2014 3.12 0.0365448505 7/9/2014 3.01-0.0098684211 7/8/2014 3.04-0.0349206349 7/7/2014 3.15-0.012539185 7/3/2014 3.19-0.003125 7/2/2014 3.2 WALL STREET JOURNAL T-bill Bid T-Bill Asked discount T 0.005-0.005 1.000000000 0.01918 0.005-0.005 1.000000000 0.02192 0.005-0.005 1.000000000 0.02466 0.005-0.005 1.000000000 0.02740 0.005-0.005 1.000000000 0.03014 BLACK-SCHOLES OPM Strike Price d1 d2 delta N(d1) C 2.5 1.34944 1.204032677 0.91140246134 0.5290425946 2.5 1.25060 1.095146275 0.89445890763 0.5251924206 2.5 1.28848 1.123605279 0.90121120027 0.5751698054 2.5 1.24989 1.076089862 0.89432960355 0.5890074234 2.5 1.23575 1.053465918 0.89172350313 0.6116677727 BUY SHARES BORROW Number Value Value Face value 0.9114024613 2.7433214086 2.2142788141 2.2142788141 0.8944589076 2.6833767229 2.6833767229 2.6833767229 0.9012112003 2.7486941608 2.7486941608 2.7486941608 0.8943296036 2.7366485869 2.7366485869 2.7366485869 0.8917235031 2.7465083896 2.7465083896 2.7465083896 NET CASH PORTFOLIO VALUE PAID 0.5290425946 0.5290425946-2.2142788141-4.897655537-7.6463496978-10.3829982846...
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