On May 18, 2022, the price of BP stock was $36.00. The interest rate was 3.5% per year. What was the implicit stock volatility (if any) implied by the prices below for call options expiring October 20,2023? Draw a graph of your results. If you think you have found convergence, make sure that the implicit volatility is equal (to a tenth of a percent) in two consecutive iterations. Strike Last Price 30 6.80 32 5.10 34 3.95 35 3.37 36 2.82 38 2.00 40 1.18 42 0.70
On May 18, 2022, the price of BP stock was $36.00. The interest rate was 3.5% per year. What was the implicit stock volatility (if any) implied by the prices below for call options expiring October 20,2023? Draw a graph of your results. If you think you have found convergence, make sure that the implicit volatility is equal (to a tenth of a percent) in two consecutive iterations. Strike Last Price 30 6.80 32 5.10 34 3.95 35 3.37 36 2.82 38 2.00 40 1.18 42 0.70
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
Problem 1PS
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Question
On May 18, 2022, the price of BP stock was $36.00. The interest rate was
3.5% per year. What was the implicit stock volatility (if any) implied by the prices below
for call options expiring October 20,2023? Draw a graph of your results. If you think you
have found convergence, make sure that the implicit volatility is equal (to a tenth of a
percent) in two consecutive iterations.
Strike
Last
Price
30 6.80
32 5.10
34 3.95
35 3.37
36 2.82
38 2.00
40 1.18
42 0.70
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