Fill the details/instructions form and checkout for your essay - pro writers; top college graduates only in less than 5 mins, NO AI—Plagiarism-free!.
Posted: September 2nd, 2021
The assignment will require you to extract data from two data sets provided on the LMS.
The first “S&P500 options.csv” contains daily data for traditional European S&P500 options from October 30, 2017 to November 30, 2017. The file contains details on calls and puts for the November 17, 2017 and December 15, 2017 contracts.
The second data set “S&P500.xlsx” contains daily realized volatility estimates (column B) sourced from the Oxford-Man Institute Realized Library – realized.oxford-. Column C scales the realized volatility so that it proxies close to close volatility.
QUESTION 1 (10+1+10 = 21 marks)
This question requires you to calculate part of the volatility surface on November 8, 2017 using all available strikes that range from 2500 points to 2700 points.
A) Calculate FOUR separate implied volatility (IV) smiles using all of the provided strikes for each of the FOUR contracts i.e. i) November 17, 2017 calls; ii) November 17, 2017 puts; iii) December 15, 2017 calls and iv) December 15, 2017 puts.
Use the BSM model to extract the IVs. Further, assume a continuously compounded risk free rate of 1.30% p.a, and a continuously compounded dividend yield of 1.70% p.a.
Show all your calculations in your excel spreadsheet. Label the sheet “Surface”.
(10 marks)
B) Plot the results for each of the FOUR IV smiles on the one graph.
(1 mark)
C) Write a brief one page report outlining your findings. What can you infer from the results and are they consistent with your expectations?
(10 marks) Finance homework help
Every student wants the best grades and that’s our Focus
Our team consists of outstanding writers who have specialized knowledge in specific subject areas and professionals experienced in academic research writing. They hold at least a graduate degree—230 with Masters and MSN, experts carefully selected and trained to ensure the best quality of our work. .
We are committed to hiring the most skilled writers who can deliver high-quality work at a reasonable price for college students. Thus, we offer the best value for money without sacrificing the standard of our essay writing services; the quality of the paper's content. #Remember to activate the DISCOUNT Code on the order form COUPONS' section before making payment for your essay.
The service guarantees that our final work is 100% original, rearched and human written. We are committed to delivering plagiarism-free and AI-free work to each university/college student's 'write my paper' request. To uphold this promise, we check every draft for any possible instances of duplication, wrong citation, grammar errors and artificiality before we send it to you. Thus, you can always rely on us to write genuine and high-standard content for your essay assignments.
When you decide to place an order with Homework Ace Tutors, here is what happens: