caption: Use the Amazon dataset posted on Blackboard to value a 6-month call option with a $1,150 strike price The current 6-month T-bill rate is 1.46%. For So, use the most recent price from the spreadsheet. You will need to calculate the stocks volatility from the data (slide 16 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for ? calculation Option Price Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Comment on your findings, and pick which value you would use if you had to pick one, and why.
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