Suppose that the stock price process S(t) , t 0 with S(0) = 100 satisfies dS(t) = S(t)(0.03dt + dZ (t)) ; t 0 , where Z (t) , t 0 is a standard Brownian motion under the risk-neutral probability. Assume that is less than 0.3 and the stock pays dividends continuously at a rate proportional to its price with dividend yield 2% . Suppose that the delta of a two-year, 100-strike put option on this stock is 0.32 . Derive the implied volatility for this option.