A stock price is currently $50 and the risk-free interest rate is 5%. Use the DerivaGem software
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A stock price is currently $50 and the risk-free interest rate is 5%. Use the DerivaGem software to translate the following table of European call options on the stock into a table of implied volatilities, assuming no dividends. Are the option prices consistent with the assumptions underlying Black-Scholes?
Strike price ($)
Maturity (months)
3 6 12 45 7.00 8.30 10.50 50 3.50 5.20 7.50 55 1.60 2.90 5.10
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