If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black- Scholes price using .28 as the volatility is 1.11, the implied volatility will be. Explain how? A. higher than .28 B. lower than .28 C. .28 D. lower than the risk-free rate E. none of the above
If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black- Scholes price using .28 as the volatility is 1.11, the implied volatility will be. Explain how? A. higher than .28 B. lower than .28 C. .28 D. lower than the risk-free rate E. none of the above
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 1P
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If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black-
Scholes price using .28 as the volatility is 1.11, the implied volatility will be. Explain how?
A. higher than .28
B. lower than .28
C. .28
D. lower than the risk-free rate
E. none of the above
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