15. Find the implied volatility (to 2 decimals, for example, σ = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13 2 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. 3 Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility σ. Then use Solver to change the volatility cell in order to obtain a price of $6.13 4 5 6 d1 = -0.0614997 7 d2 = 8 9 10 N(d1)= 11 N(d2)= 12 13 N(-d1)= 14 N(-d2)= 15 16 17 18 P = 27.41 19 So= 47 K= 50 r = 2% σ = 2.74% T= 0.91666667

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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15. Find the implied volatility (to 2 decimals, for example, σ = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13
2 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50.
3 Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility σ. Then use Solver to change the volatility cell in order to obtain a price of $6.13
4
5
6
d1 =
-0.0614997
7
d2 =
8
9
10
N(d1)=
11
N(d2)=
12
13
N(-d1)=
14
N(-d2)=
15
16
17
18
P =
27.41
19
So=
47
K=
50
r =
2%
σ =
2.74%
T= 0.91666667
Transcribed Image Text:15. Find the implied volatility (to 2 decimals, for example, σ = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13 2 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. 3 Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility σ. Then use Solver to change the volatility cell in order to obtain a price of $6.13 4 5 6 d1 = -0.0614997 7 d2 = 8 9 10 N(d1)= 11 N(d2)= 12 13 N(-d1)= 14 N(-d2)= 15 16 17 18 P = 27.41 19 So= 47 K= 50 r = 2% σ = 2.74% T= 0.91666667
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