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Todays price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c. risk-free interest rate is zero percent. Assume there is

Todays price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c. risk-free interest rate is zero percent. Assume there is no arbitrage and the Black-Scholes model assumptions hold.

The market price of a European call option on MSFT with a strike of $100 and a maturity of one year is $1.99. What is the implied volatility of the call option?

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