A call option with X = $50 on a stock priced at S = $55 sells for

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A call option with X = $50 on a stock priced at S = $55 sells for $10. Using a volatility estimate of σ = .30, you find that N(d1) = .6 and N(d2) = .5. The risk-free interest rate is zero. Is the implied volatility based on the option price more or less than .30? Explain. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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