A-binomial pricing in excel Find historical daily closing prices over the most recent 90 days for a stock in the index
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2. Find historical daily closing prices over the most recent 90 days for a stock in the index OMX Nordic40 (OMXN40) (see :[login to view URL]).3. Import the file in Excel, then turn the price series into returnsui=ln(Si/Si−1) where,irefers to dayi,andi=0,1,2,...going forward in time.4. Compute the standard deviationsof theui,i=1,2,...using Excel functionSTDEV.S, calculate thestock volatilityσ=s/√τwhereτ=1/252 refers to one-day time step with 252 trading day convention.5. Select a trading call option on this stock that has the expiration data within one month from now, ourtask is to price this option using a simplen-step binomial tree.6. Now construct a binomial tree, with minimumn=5 steps, to model the future evolution of the stockprices up to the expiration date of your option. Your up and down parameters areu=eσ√∆tandd=e−σ√∆t, where∆t(in years) is the length of the time step on your tree. The recommended time stepis one day (=1/252) andnwill be the number of days over the time period from today to maturity.7. Assume that the option is European style, choose a reasonable value of the risk-free rate (to be an-nounced later in the course), calculate the price of this European option.
Hello sir !
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Hi,
This is a standard binomial Option Pricing model problem.
In the First step you are taking the volatility and from their pricing the option
I am planning to download data in Work Sheet 1,
In the 2nd worksheet have the Risk Free rate as a variable and price it from their.
Since OMX is quoted in EUR, I will have Euro Risk Free rate. The only thing is probably Euro Libor rate is negative, let me think that through.
since this is European option it can expire early, I will accommodate this complexities in the model..
I am thinking this will take 2 hours to build the model initially and then on the 3rd hour I want to showcase this to you and incorporate any feedback you may have.
sir,
would u mind giving me an opportunity for your project. i will do your your job with full of honesty, sincerity and carefully. waiting for your kindness
Hello, Hope you are doing great!!
I have gone through the project details extremely carefully and i am absolutely sure that i can do the project very well.
please give me a chance and I well make sure that you'll more than happy with the final output
Best regards