Exercise 4.11 (Implied Volatility) In the BlackScholes model, the volatility is not actually observed in the

Exercise 4.11 (Implied Volatility) In the Black–Scholes model, the volatility

σ is not actually observed in the market. Hence, given the other parameters, the implied volatility σM is calculated from Equation (4.21)–(4.22) and the market price cM of the call option. Suppose t = 0, r = 0.02, S = 100, K = 100, and T = 0.5. If the market price is cM = 2.1, calculate the implied volatility σM.