FI 341 Study Guide - Midterm Guide: Res Ipsa Loquitur, Contributory Negligence, Liability Insurance
Document Summary
Get access
Related Documents
Related Questions
The scenario: Assume that today is May 3, 2017. You are asked to price hypothetical August 2017 options on Facebook (FB) stock. (Presently, only May, June, July, and September options exist.) The risk-free rate is 1.0% per year. Daily prices in Table 2 below are from Yahoo! Finance. (There are n days of prices, generating n-1 returns.)
Create an input range containing the following components:
Current stock price
Exercise price
Annualized stock volatility
Time to expiration
Risk-free rate
Create an interactive spreadsheet to price a call option using the Black-Scholes option-pricing model (BSOPM). Calculate the price of a FB August 150 call, and place your answer in cell G4. Make sure itâs interactive. Will rate if answer is correct.
| Date | FB Closing Price |
| 5/2/2017 | 152.78 |
| 5/1/2017 | 152.46 |
| 4/28/2017 | 150.25 |
| 4/27/2017 | 147.70 |
| 4/26/2017 | 146.56 |
| 4/25/2017 | 146.49 |
| 4/24/2017 | 145.47 |
| 4/21/2017 | 143.68 |
| 4/20/2017 | 143.80 |
| 4/19/2017 | 142.27 |
| 4/18/2017 | 140.96 |
| 4/17/2017 | 141.42 |
| 4/13/2017 | 139.39 |
| 4/12/2017 | 139.58 |
| 4/11/2017 | 139.92 |
| 4/10/2017 | 141.04 |
| 4/7/2017 | 140.78 |
| 4/6/2017 | 141.17 |
| 4/5/2017 | 141.85 |
| 4/4/2017 | 141.73 |
| 4/3/2017 | 142.28 |
| 3/31/2017 | 142.05 |
| 3/30/2017 | 142.41 |
| 3/29/2017 | 142.65 |
| 3/28/2017 | 141.76 |
| 3/27/2017 | 140.32 |
| 3/24/2017 | 140.34 |
| 3/23/2017 | 139.53 |
| 3/22/2017 | 139.59 |
| 3/21/2017 | 138.51 |
| 3/20/2017 | 139.94 |
| 3/17/2017 | 139.84 |
| 3/16/2017 | 139.99 |
| 3/15/2017 | 139.72 |
| 3/14/2017 | 139.32 |
| 3/13/2017 | 139.60 |
| 3/10/2017 | 138.79 |
| 3/9/2017 | 138.24 |
| 3/8/2017 | 137.72 |
| 3/7/2017 | 137.30 |
| 3/6/2017 | 137.42 |
| 3/3/2017 | 137.17 |
| 3/2/2017 | 136.76 |
| 3/1/2017 | 137.42 |
| 2/28/2017 | 135.54 |
| 2/27/2017 | 136.41 |
| 2/24/2017 | 135.44 |
| 2/23/2017 | 135.36 |
| 2/22/2017 | 136.12 |
| 2/21/2017 | 133.72 |
| 2/17/2017 | 133.53 |
| 2/16/2017 | 133.84 |
| 2/15/2017 | 133.44 |
| 2/14/2017 | 133.85 |
| 2/13/2017 | 134.05 |
| 2/10/2017 | 134.19 |
| 2/9/2017 | 134.14 |
| 2/8/2017 | 134.20 |
| 2/7/2017 | 131.84 |
| 2/6/2017 | 132.06 |
| 2/3/2017 | 130.98 |
| 2/2/2017 | 130.84 |
| 2/1/2017 | 133.23 |
| 1/31/2017 | 130.32 |
| 1/30/2017 | 130.98 |
| 1/27/2017 | 132.18 |
| 1/26/2017 | 132.78 |
| 1/25/2017 | 131.48 |
| 1/24/2017 | 129.37 |
| 1/23/2017 | 128.93 |
| 1/20/2017 | 127.04 |
| 1/19/2017 | 127.55 |
| 1/18/2017 | 127.92 |
| 1/17/2017 | 127.87 |
| 1/13/2017 | 128.34 |
| 1/12/2017 | 126.62 |
| 1/11/2017 | 126.09 |
| 1/10/2017 | 124.35 |
| 1/9/2017 | 124.90 |
| 1/6/2017 | 123.41 |
| 1/5/2017 | 120.67 |
| 1/4/2017 | 118.69 |
| 1/3/2017 | 116.86 |
| 12/30/2016 | 115.05 |
| 12/29/2016 | 116.35 |
| 12/28/2016 | 116.92 |
| 12/27/2016 | 118.01 |
| 12/23/2016 | 117.27 |
| 12/22/2016 | 117.40 |
| 12/21/2016 | 119.04 |
| 12/20/2016 | 119.09 |
| 12/19/2016 | 119.24 |
| 12/16/2016 | 119.87 |
| 12/15/2016 | 120.57 |
| 12/14/2016 | 120.21 |
| 12/13/2016 | 120.31 |
| 12/12/2016 | 117.77 |
| 12/9/2016 | 119.68 |
| 12/8/2016 | 118.91 |
| 12/7/2016 | 117.95 |
| 12/6/2016 | 117.31 |
| 12/5/2016 | 117.43 |
| 12/2/2016 | 115.40 |
| 12/1/2016 | 115.10 |
| 11/30/2016 | 118.42 |
| 11/29/2016 | 120.87 |
| 11/28/2016 | 120.41 |
| 11/25/2016 | 120.38 |
| 11/23/2016 | 120.84 |
| 11/22/2016 | 121.47 |
| 11/21/2016 | 121.77 |
| 11/18/2016 | 117.02 |
| 11/17/2016 | 117.79 |
| 11/16/2016 | 116.34 |
| 11/15/2016 | 117.20 |
| 11/14/2016 | 115.08 |
| 11/11/2016 | 119.02 |
| 11/10/2016 | 120.80 |
| 11/9/2016 | 123.18 |
| 11/8/2016 | 124.22 |
| 11/7/2016 | 122.15 |
| 11/4/2016 | 120.75 |
| 11/3/2016 | 120.00 |
| 11/2/2016 | 127.17 |
| Primary Prospectus Benchmark Name | Total Ret Annlzd 5 Yr (%) |
| Russell 2000 Growth TR USD | 12.40 |
| Russell 2000 TR USD | 12.62 |
| Russell 2000 Value TR USD | 12.78 |
| S&P 500 Growth TR USD | 13.94 |
| S&P 500 TR USD | 13.60 |
| S&P 500 Value TR USD | 13.11 |
1. Returns and Cost of Equity. Using the stock price data in the attached spreadsheet, estimate the cost of equity for Bank of America. Assume a market risk premium of 5% and a risk free rate of 3.29
| Date | Return | Market Return | |
| 20070228 | -2% | -1.40% | |
| 20070330 | 0% | 1.29% | |
| 20070430 | 0% | 3.98% | |
| 20070531 | 1% | 3.89% | |
| 20070629 | -4% | -1.48% | |
| 20070731 | -3% | -3.18% | |
| 20070831 | 7% | 1.17% | |
| 20070928 | 0% | 4.09% | |
| 20071031 | -4% | 2.58% | |
| 20071130 | -4% | -4.92% | |
| 20071231 | -9% | -0.44% | |
| 20080131 | 7% | -6.22% | |
| 20080229 | -10% | -2.17% | |
| 20080331 | -3% | -1.04% | |
| 20080430 | -1% | 5.11% | |
| 20080530 | -9% | 2.38% | |
| 20080630 | -28% | -7.84% | |
| 20080731 | 38% | -1.33% | |
| 20080829 | -5% | 1.06% | |
| 20080930 | 14% | -9.80% | |
| 20081031 | -31% | -18.46% | |
| 20081128 | -33% | -8.46% | |
| 20081231 | -11% | 2.21% | |
| 20090130 | -53% | -7.73% | |
| 20090227 | -40% | -10.02% | |
| 20090331 | 73% | 8.67% | |
| 20090430 | 31% | 10.94% | |
| 20090529 | 26% | 6.78% | |
| 20090630 | 17% | -0.31% | |
| 20090731 | 12% | 8.17% | |
| 20090831 | 19% | 3.15% | |
| 20090930 | -4% | 4.52% | |
| 20091030 | -14% | -2.80% | |
| 20091130 | 9% | 5.71% | |
| 20091231 | -5% | 2.84% | |
| 20100129 | 1% | -3.71% | |
| 20100226 | 10% | 3.48% | |
| 20100331 | 7% | 6.36% | |
| 20100430 | 0% | 2.00% | |
| 20100528 | -12% | -7.91% | |
| 20100630 | -9% | -5.07% | |
| 20100730 | -2% | 7.03% | |
| 20100831 | -11% | -4.28% | |
| 20100930 | 5% | 9.15% | |
| 20101029 | -13% | 3.85% | |
| 20101130 | -4% | 0.51% | |
| 20101231 | 22% | 6.72% | |
| 20110131 | 3% | 1.92% | |
| 20110228 | 4% | 3.82% | |
| 20110331 | -7% | 0.34% | |
| 20110429 | -8% | 2.87% | |
| 20110531 | -4% | -1.49% | |
| 20110630 | -7% | -1.84% | |
| 20110729 | -11% | -2.25% | |
| 20110831 | -16% | -5.75% | |
| 20110930 | -25% | -8.49% | |
| 20111031 | 12% | 11.40% | |
| 20111130 | -20% | -0.62% | |
| 20111230 | 2% | 0.37% | |
| 20120131 | 28% | 5.41% | |
| 20120229 | 12% | 4.12% | |
| 20120330 | 20% | 2.40% | |
| 20120430 | -15% | -0.68% | |
| 20120531 | -9% | -6.55% | |
| 20120629 | 11% | 3.82% | |
| 20120731 | -10% | 1.03% | |
| 20120831 | 9% | 2.63% | |
| 20120928 | 11% | 2.65% | |
| 20121031 | 6% | -1.41% | |
| 20121130 | 6% | 0.62% | |
| 20121231 | 18% | 1.25% | |
| 20130131 | -2% | 5.41% | |
| 20130228 | -1% | 0.83% | |
| 20130328 | 8% | 3.53% | |
| 20130430 | 1% | 1.49% | |
| 20130531 | 11% | 1.91% | |
| 20130628 | -6% | -1.50% | |
| 20130731 | 14% | 5.27% | |
| 20130830 | -3% | -2.57% | |
| 20130930 | -2% | 3.75% | |
| 20131031 | 1% | 3.99% | |
| 20131129 | 13% | 2.49% | |
| 20131231 | -2% | 2.61% |
