Compute January 12 2004 bid and ask volatilities (using the Black-Scholes implied volatility function) for IBM options

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Compute January 12 2004 bid and ask volatilities (using the Black-Scholes implied volatility function) for IBM options expiring February 21.
a. Do you observe a volatility smile?
b. For which options are you unable to compute a plausible implied volatility? Why? Discuss.
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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