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Latest price of the GDR is $16,29 (on 18 April,2008). To calculate volatility we used historical prices of the stock in the interval from 1 January until 18 April, and it is equal to 47,98%. Having all these figures we used Black-Scholes formula and found out the price of put option, which is $0,79. We also checked it on DerivaGem program.
1.
X 13,1 Strike Price
S 16,29 Stock Price
T 0,75 Time
r 2,64% 9-Month LIBOR
sigma 47,98% Volatility
d1 0,779909502 -0,779909502
d2 0,364390513 -0,364390513
N(d1) 0,782277927
N(d2) 0,642216791
N(-d2) 0,357783209
N(-d1) 0,217722073
p 1,048378375
The calculation of volatility is in Excel’s file...
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