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Unformatted text preview: Homework 1 FE621 Computational Methods in Finance Due: February 28, 2010, by 10:00pm This assignment has a data gathering component to it. On Thursday Febru- ary 4 and on Friday February 5 at 2:30pm ET please repeat the following steps: Go to GOOGLE web page on yahoo : GOOGLE on Yahoo . Click on the op- tions link in the upper left corner. Select options which expire in Feb 10, Mar 10 and Jun 10 (by clicking on the respective link). Please save (or record) these numbers (for both put and call options). Also write down the GOOGLE stock price at the time when you save the data. You just gathered option data on an equity. The most studied data index is the S&P500, but for some reason Yahoo! does not carry its option data anymore (or at least I cannot find it). This data is available on CBOE. You will need to figure out how to download, clean and identify each option from the file downloaded. We will refer to the data sets gathered in the two consecutive days as DATA1 (for the first day) and DATA2 (for the second day) respectively throughout this document. Whoever posts comma separated files (or excel files) containing both data (Google and S&P500 - cleaned) by 10:00pm February 6 will get 25 bonus points counting toward the first assignment. Please note that in addition to the data you just downloaded you will also need the following: Recorded underlying equity or index price at the exact moment when the rest of the data is downloaded....
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- Spring '10