Derivatives
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Download option price chain data from Yahoo Finance or from Datastream/Eikon for a liquid stock. Estimate the historical volatility for the underlying stock. Estimate the implied volatility of the traded options. Comment on your results.
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Use the approach outlined in Hull, Chapter 19 (Appendix) to determine the implied risk neutral distribution from the implied volatilities. Set out how Breeden and Litzenberger (1978) employ a series of butterfly trading strategies to accomplish this end? Also, implement an Implied Binomial tree as described by Rubinstein (1994). How does the volatility smile and/or skewness denote a non-normal distribution of the stock price return? Make reference to Hull Chapter 19. How could the Gram-Charlier approach described by Backus, Foresi and Wu (2004) be used to capture skewness and kurtosis?
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In what way does Dumas, Fleming and Whaley (1998) deal with volatility skew? Implement both approaches with the option chain data you have collected. Comment on how both approaches perform in terms of pricing?
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