The Dow Jones Industrial Average on July 20, 2016 was 18,580 and the price of a September
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The Dow Jones Industrial Average on July 20, 2016 was 18,580 and the price of a September 185 (European) call option on the index was $3.35. Use the DerivaGem software to calculate the implied volatility of this option. Assume that the risk-free rate was 0.7% and the dividend yield was 2.75%. The option expires on September 16, 2016. Estimate the price of a September 185 put. What is the volatility implied by the price you estimate for this option?
DividendA dividend is a distribution of a portion of company’s earnings, decided and managed by the company’s board of directors, and paid to the shareholders. Dividends are given on the shares. It is a token reward paid to the shareholders for their...
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Options on the DJIA are European There are 42 trading days between July 20 201...View the full answer
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