Question
A three-months European call option on Microsoft with a strike price of $220 is trading at $12.60. The current stock price for Microsoft is $218.
A three-months European call option on Microsoft with a strike price of $220 is trading at $12.60. The current stock price for Microsoft is $218. Suppose that the risk-free rate is 1%, whereas the dividend yield on Microsoft is 0. According to the Black-Scholes model (BSM), what is the implied annual volatility? Choose the best answer.
(a) 0.351
(b) 0.205
(c) 0.251
(d) 0.305
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Financial Management For Public Health And Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
7th Edition
1071835335, 978-1071835333
