11. Compute January 12 2004 implied volatilities using the average of the bid and ask prices for...
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11. Compute January 12 2004 implied volatilities using the average of the bid and ask prices for IBM options expiring February 21 (use the Black-Scholes implied volatility function). Compare your answers to those in the previous problem. Why might someone prefer to use implied volatilities based on the average of the bid and ask prices, rather than the bid and ask volatilities individually?
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Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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