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# Data for σ calculation option price last 12 months

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Data for σ calculation Option Price Last 12 Months See Spreadsheet Last 9 Months See Spreadsheet Last 6 Months See Spreadsheet Last 3 Months See Spreadsheet Last 1 Month See Spreadsheet Comment on your findings, and pick which value you would use if you had to pick one, and why. See Spreadsheet for some commentary

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Homework #5 MGMT 41150 Futures and Options Professor Boquist Question 3 (40 points) You want to use the binomial tree analysis to value a 2-year American put option with a \$80 strike price on Crabbe and Goyle Corporation. The shares are currently trading for \$110. The annualized continuously compounded risk-free rate is 5%. The volatility of the stock is 64%. You will use the Cox Ross Rubenstein method for computing the binomial tree (see slide 32 of the Ch. 13 notes for details). Draw the binomial tree and find the value of the option using a time step of 6 months (n=4).
Homework #5 MGMT 41150 Futures and Options Professor Boquist (Blank page - additional space for question 3 answer)

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Homework #5 MGMT 41150 Futures and Options Professor Boquist (Blank page - additional space for question 3 answer)
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• Fall '17
• Boquist
• Professor Boquist

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