Use the BSOPM to value a January 21st, 2022 call option on Under Armour Inc, (stock symbol UA). On Nov. 16th with a strike price of 17.50, a current stock price of 22.50, and a risk free rate of 0.04 % per annum (3 month yield from Bloomberg), calculate the value of the call in steps as listed below. (Since the option expires Jan 21st, assume there are 46 trading days)
- Turn in a spreadsheet to calculate the volatility of the underlying stock. (See the note below).
(Note: to calculate volatility, use daily historical returns for 91 trading days starting with Nov. 15 and before. On Yahoo finance, download the historical prices into a spreadsheet, and then calculate return relatives. Then, follow the procedure in the textbook to get the annual standard deviation of log returns. You may use NORMSDIST on excel to get N(d1) and N(d2) for the BSOPM, and STDEV to get the standard deviation of log returns.
- Show all of your work and calculate the value of this stock option using the BSOPM. Show all steps handwritten or typed. You may set up a formula in Excel to calculate the value, but I want to see all steps written or typed out for the calculations.
