Assume put premium=$5, S = $50, K=55, r = 5% p.a. continuously compounded, the stock pays a

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Assume put premium=$5, S = $50, K=55, r = 5% p.a. continuously compounded, the stock pays a 3.0% p.a. continuous dividend and the time to maturity is 1 year. What is the implied volatility?

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Posted Date: Apr 08, 2023 10:19 AM

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Assume put premium=$5, S = $50, K=55, r = 5% p.a. continuously compounded, the stock pays a

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To find the implied volatility we need to use an option pricing model that takes into account the va... View the full answer

Derivatives Markets

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