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
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
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 4P: Put–Call Parity
The current price of a stock is $33, and the annual risk-free rate is 6%. A call...
Related questions
Question
![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](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F74b5f05b-0d7f-4809-bd93-831059a1a1ca%2Fb582b647-5a51-413e-bbe8-81abb568e41e%2Fn77tcv6_processed.jpeg&w=3840&q=75)
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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