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Assume an individual stock put option with a strike price of $80 is traded on the exchange at $8.24. The underlying stock current market
Assume an individual stock put option with a strike price of $80 is traded on the exchange at $8.24. The underlying stock current market price is $81, and the option's time to maturity is 6 months. Given the risk-free rate being 5.5% assess implied volatility of underlying stock using the Black-Scholes model. Assume the current option premium represents its fair price.
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Fundamentals of Investing
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
12th edition
978-0133075403, 133075354, 9780133423938, 133075400, 013342393X, 978-0133075359
