Question
You are given the following information on two European call options written on stock XYZ at a strike of 175. Maturity Price 11/16/18 Maturity Price
You are given the following information on two European call options written on stock XYZ at a strike of 175.
Maturity Price 11/16/18 Maturity Price 1/17/20 XYZ Price
4/11/18 $12.50 $20.10 $178.10
4/12/18 $9.75 $17.50 $172.55
Assume an annual interest of 2% and an annual dividend rate of 1%. Both rates are continuously compounded.
a) Compute the implied volatilities of both options on both dates. (You will compute four implied volatilities in total).
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Day Trading Strategies And Risk Management
Authors: Richard N. Williams
1st Edition
979-8863610528
