This document provides a comprehensive solution to a derivatives assignment. The assignment covers various aspects of option pricing, including the use of binomial trees, the Black-Scholes model, and the calculation of option Greeks (delta, gamma, vega, theta, and rho). The solution includes detailed calculations for both call and put options, demonstrating the application of relevant formulas and concepts. Furthermore, the assignment analyzes the impact of dividends and volatility on option prices and explores different methodologies for option valuation. The document also presents statistical analysis of option data, and provides the results from different methodologies. Finally, the assignment explores the relationship between put and call options and tests the assumptions underlying the Black-Scholes-Merton model.
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