(Implied volatility from put price) A put option on a stock is priced at $5.2.

The option has an exercise price X of $25. The stock’s current price S is $26, the option’s time to maturity is 1 year, and the interest rate r is 5%. Use the Black–Scholes model to determine the option’s implied volatility (the σ used to price the option). (Excel hint: Use Goal Seek, explained in Chapter 25.)