Unformatted text preview: options). That is: 1. Calculate σ 1 , 2 , 12 , E (| r |) , E (| Δ S |) for each case. 2. Calculate the actual one day return on the trading date post announcement (if the announcement was after trading hours) or during the announcement date if during trading hours. Calculate also the actual price change. Δ S . 3. Compare the actual one-day price return and price change to the forecasted one using the option model for the two time periods and the two types of options. 4. Is there any indication that a “positive” announcement is forecasted better with calls and a “negative” announcement is forecasted with puts? Do the write-up and support your conclusions with the empirical data. 5. Your report should be no longer than two pages. 6. You have one week to complete it from the time it was handed to you. It is due in class. Late reports will carry an entire grade penalty (A to B, B to C). Resources: Bloomberg, www.888options.com , www.cboe.com ....
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- Spring '07
- Derivatives, Expected Earnings Announcement