(Implied volatility from call price) A call option on a stock is priced at $4.15. The option...
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(Implied volatility from call price) A call option on a stock is priced at $4.15.
The option has an exercise price X of $40. The current stock price S is $33, the option’s time to maturity is 6 months, and the interest rate r is 2.5%.
Use the Black–Scholes model to determine the implied volatility (the σ used to price the option). (Excel hint: Use Goal Seek, explained in Chapter 25.)
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Related Book For 
Principles Of Finance Wtih Excel
ISBN: 9780190296384
3rd Edition
Authors: Simon Benninga, Tal Mofkadi
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