b. Your answer to part (a) will not exactly match the traded price. Experiment with different values

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b. Your answer to part

(a) will not exactly match the traded price. Experiment with different values for the standard deviation until your calculated values match the prices of the traded options as closely as possible. What are these implied volatilities? What do the implied volatilities say about investors’ forecasts of future volatility?

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Principles Of Corporate Finance

ISBN: 9781264080946

14th Edition

Authors: Richard Brealey, Stewart Myers, Franklin Allen, Alex Edmans

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