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Price of Tesla on 10/22/2020 is $431. Consider a call option on Tesla with a strike price of $425 and maturity 3 months. Use the
- Price of Tesla on 10/22/2020 is $431. Consider a call option on Tesla with a strike price of $425 and maturity 3 months. Use the Black-Scholes formula to compute the call option price. Assume the risk-free rate is 1%. On the same day, the value of a put option with strike price of $500 and maturity of 3 months is $99.75. What is the implied volatility based on the Black Scholes model?
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