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Assume that the cost of insuring an index fund ATMF (S = PV (K)) is 6%. The contract is for 3 months. What is the
Assume that the cost of insuring an index fund ATMF (S = PV (K)) is 6%. The contract is for 3 months. What is the implied volatility? Assume a Black-ScholesMerton world BUT you cannot use a B-S-M software. Show your computation (no credit if no computation). a) 60% b) 30% c) 15% d) 25%
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