On 15 August, Amazon.com Inc. (AMZN) is trading at $143.55. The stock is not expected to...
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On 15 August, Amazon.com Inc. (AMZN) is trading at $143.55. The stock is not expected to pay a dividend. The prices of European put options on the stock expiring on 16 September are as follows: Strike K ($) 145 135 115 Put prices (S) 6.40 2.61 0.37 [+] Assume the risk-free rate is 7% per annum continuously compounded, and there are 25 working days over the life of the option (use T=25/252). a) Using Excel, compute the implied volatility for each of the options using the Black- Scholes-Merton formula. On 15 August, Amazon.com Inc. (AMZN) is trading at $143.55. The stock is not expected to pay a dividend. The prices of European put options on the stock expiring on 16 September are as follows: Strike K ($) 145 135 115 Put prices (S) 6.40 2.61 0.37 [+] Assume the risk-free rate is 7% per annum continuously compounded, and there are 25 working days over the life of the option (use T=25/252). a) Using Excel, compute the implied volatility for each of the options using the Black- Scholes-Merton formula.
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1 Open Excel and create a new spreadsheet 2 Set up columns for the following data Strike price K Mar... View the full answer
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