Question
Consider a January SPX call option. If the Black-Scholes price of this option with a 20% volatility () of the S&P 500 index is below
Consider a January SPX call option. If the Black-Scholes price of this option with a 20% volatility () of the S&P 500 index is below the observed (market) price of the option, then its implied volatility _____
is the same as the volatility of the S&P 500 over the past month
is below 20%
is higher than 20%
is equal to 20%
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ISE Real Estate Finance And Investments
Authors: Jeffrey Fisher William B. Brueggeman
17th International Edition
1264892888, 9781264892884
