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Suppose that a stock price at time zero is S0 = 85. The continuously compounded risk free rate is 3%. A European call option written

Suppose that a stock price at time zero is S0 = 85. The continuously compounded risk free rate is 3%. A European call option written on the stock with a strike price of 100 and time to expiry t = 1 year has delta of 0.3859 and trades for 5.46.

Find the implied volatility of the stock to the nearest 1% without using Solver.

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