Question
The Black-Scholes price of a three-month 50strike call option is $ 6,75. The stock is trading at $49. Given an interest rate of 2%, what
The Black-Scholes price of a three-month 50strike call option is $ 6,75. The stock is trading at $49. Given an interest rate of 2%, what is the implied volatility of the stock extracted from this option?
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
3rd Edition
0471375942, 978-0471375944
