IF2209 Derivatives Coursework: Option Pricing, Volatility

This derivatives coursework solution covers put-call parity, implied volatility calculation using the Black-Scholes-Merton model, and various option trading strategies. It includes regression analysis to determine the relationship between strike price and option prices, calculation of implied volatility for different strike prices, and analysis of trading strategies like bull spreads and seagull strategies. The solution also incorporates a two-period binomial model for European vanilla and digital options. The analysis includes detailed calculations, tables, and graphs to illustrate the concepts and results. The document also includes an Excel file with all the calculations. Desklib offers a wide range of such solved assignments and past papers for students.