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 $50 and the risk-free interest rate is 5%. Use the DerivaGem software to translate the following table of European call options on the stock into a table of implied volatilities, assuming no dividends:
Strike price 45 50 55
($) 3 7.0 3.7 1.6 Maturity (months)
6 8.3 5.2 2.9 12 10.5 7.5 5.1 Are the option prices consistent with Black-Scholes?
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