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The Black-Scholes price of a three-month 50strike put option is $0.75. The stock is trading at $49. Given an interest rate of 2%, and no

The Black-Scholes price of a three-month 50strike put option is $0.75. The stock is trading at $49. Given an interest rate of 2%, and no dividends, what is the implied volatility of the stock extracted from this option?

(a) 0.55

(b) 0.66

(c) 0.77

(d) 0.88

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