Suppose the Dow Jones Industrial Average is 27,000 and the price of a two-month (European) call option
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Suppose the Dow Jones Industrial Average is 27,000 and the price of a two-month (European) call option on the index with a strike price of 270 is \(\$ 5.35\). Use the DerivaGem software to calculate the implied volatility of this option. Assume the risk-free rate is \(0.25 \%\) and the dividend yield is \(2 \%\). Estimate the price of a two-month put option with a 270 strike price. What is the volatility implied by the price you estimate for this option?
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