Finance Math, accounting homework help

Anonymous

Question Description

This document consists of 2 financial mathematics questions, which needs Microsoft Excel to calculate the following questions.

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Question 1 Using Excel, calculate the following using the bond information in the table below: Maturity 1 year 2 years 3 years 4 years Coupon 0% 1.2% 2.5% 3.0% Price 99.2 100.2 102 104 (a) 1-year, 2-year, 3-year and 4-year zero coupon yields (b) 1-year, 2-year, 3-year and 4-year par yields (c) 1-year v 2-year, 2-year v 3-year and 3-year v 4-year forward-forward yields Question 2 (a) SBO stock is currently selling in the market for $55.00. You are looking at its 3-month call and put options which have a strike price of $57. The stock price is expected to either rise or fall by 2% each month and the risk-free interest rate is 5% per annum. Using Excel, compute the price of both the call and put options using a three-step binomial tree. (b) Suppose that the stock price of a company X is currently USD110, has a volatility of 35% and the prevailing risk-free rate is 2%. Find, by applying the Black-Scholes formula, the price of a call and a put option, both with the same strike price of USD120, that matures in 3 months. Use Excel in your calculations. ...
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Tutor Answer

pushpam
School: UC Berkeley

Here you go all three files will answer your separate questions.I hope you are satisfied with the solution. Also note that I have taken face value as $1000 as wasn't mentioned in the question. Please rate the asnwer soon. Thank you.

Black Scholes analytical solution

Parameters
Stock Price S0

Calculations (Black Scholes ana

Exercise Price X
Interest Rate r
Volatility
Time to Maturity
Number of Steps
Dividend Yield

110
120
0,00
0,35
3
3
0

Calculations
Time Interval
Up movement
Down movement
Up probability
Disc...

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