Participants
Name, Surname: Evgeniy Petrov
Name, Surname: Jonas Bezler
Submission Date: 05.12.2022
Exercise 1
In the csv file dataset<your group number>.csv you have saved a data set, but you forgot the theoretic process you’ve used for generating it. Can you reproduce the formula using your advanced time series skills?
Exercise 2
You’ll also find two stock price data
a. Load the data sets to R and perform an adequate preprocessing. Test for missing values and outliers. We’re using the close prices.
b. Which of the two stock prices would you consider as riskier? And why? Elaborate!
c. Choose one of the stocks (any preferences?), and compute the 95% VaR for 4 months in advance. How reliable is this number? Any criticism? Any possible solutions?
Exercise 3
Again choose one of the two stock price data. We intend to gamble a bit
and expect increasing prices. A European call option would be the right
tool for it. We’ve briefly discussed the option during the lecture. Let
me please define it again. Let’s assume a strike price S which is
10% above the last noted price P. Let’s denote the last observed
price by
Please estimate the option value using price simulations for a k of 60.
Hint: You need a simulation of the absolute prices, but you probably
simulate the differences or log-differences. How to reconstruct the
absolute prices from them?. Simply consider if
Check out the uploaded .dox file 🙂