Question
The SP 500 (SPX) is currently trading at 2,000. The BSM implied volatility of one-year at-the-money European calls is 20%. The implied volatility of one-year
The SP 500 (SPX) is currently trading at 2,000. The BSM implied volatility of one-year at-the-money European calls is 20%. The implied volatility of one-year 2,200 European calls is 15%. What is the lowest upper limit on implied volatility for a one-year European call with a strike price of 2,100? Assume no dividends and a riskless rate of 0%.
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Essentials Of Managerial Finance
Authors: Scott Besley, Eugene F. Brigham
13th Edition
0324258755, 9780324258752
