# Question

Suppose S = $100, r = 8%, σ = 30%, T = 1, and δ = 0. Use the Black-Scholes formula to generate call and put prices with the strikes ranging from $40 to $250, with increments of $5. Compute the implied volatility from these prices by using the formula for the VIX (equation (24.29)). What happens to your estimate if you use strikes that differ by $1 or $10, or strikes that range only from $60 to $200?

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