Question: Find the implied volatility (to 2 decimals, for example, o = 8.23%) of a Put option with a time to expiration of 11 months

Find the implied volatility (to 2 decimals, for example, o = 8.23%)

Find the implied volatility (to 2 decimals, for example, o = 8.23%) of a Put option with a time to expiration of 11 months and a price of $6.13 The stock is currently trading at $47. The riskless rate is 2% per annum, and the strike/exercise price of the option is $50. Hint: compute the Put price using the same formula as in exercise 4, as a function of the volatility o. Then use Solver to change the volatility cell in order to obtain a price of $6.13 d1= d2 = N(d1) = N(d2)= N(-d1) = N(-d2)= P= So= K= r= = T= 2

Step by Step Solution

★★★★★

3.44 Rating (151 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

To find the implied volatility of the put option we first need to calculate the put option price usi... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...

Which of the following is not a term used torefer to owners' equity in a corporation? a. Capital b. Stockholders' equity {C} c. Shareholders' investment d. Members' equity Treasury stock that had...

1. Assume that you are an equity portfolio manager with a well-diversified portfolio valued at $2.5 million with a beta of 1.1, but you have a positive outlook on the short-term prospects of the...

Researchers Dumas and Dunbar wanted to see whether stereotypes related to creativity can influence a subjects creativity. The 96 subjects were randomly placed into three groups of 32 each. One group...

Assume that Apple manufactures and sells 500,000 units of a product at $30 per unit in domestic markets. It costs $20 per unit to manufacture ($13 variable cost per unit, $7 fixed cost per unit). Can...

True Or False Tort defenses are largely controlled by statute.

Were the data visually or statistically analyzed or both? What was done in visual analysis to reduce the effect of subjectivity and bias? Were the appropriate statistics used?

If you deposit $10,000 in a bank account that pays 10% interest annually, how much will be in your account after 5 years? Discuss.

URGENT PLEASE HELP Think of one device or a decision in real life that use an if statement or one that uses a loop. Explain the way the if statement or loop works ( a paragraph ) and then draw a...

Read the Workplace Policies and Procedures Example - Pinkies Pizza and Pasta A: You witness a fellow staff member cough into his hand. The staff member then picks up pre-made sandwiches (without...

Discussion questions: 1 . Conduct a research of the details of the business model and operations relating to Esty and one of the other companies your group has chosen to get insights into ways in...

Implicit in the stop-and-wait scenarios of Figure 2.14 is the notion that the receiver will retransmit its ACK immediately on receipt of the duplicate data frame. Suppose instead that the receiver...

The following information pertains to Bay Cabinet Company's sales on account and accounts receivable: After several collection attempts, Bay Cabinet Company wrote off $\$ 2,800$ of accounts that...

On October 1, Alice Rodstein started a consulting firm. The asset, liability, and stockholders' equity account balances after each of her first six transactions are shown below. Describe each of...

Prepare a Corrected Trial Balance The following trial balance for Hill Company has errors that cause it to be out of balance. Prepare a corrected version of the trial balance for Hill Company....

The following data apply to Smoot Sports Inc. for April 2011: 1. Balance per the bank on April $30, \$ 12,250$. 2. Deposits in transit not recorded by the bank, $\$ 2,100$. 3. Bank error; check...

Answer all the question and if possible please provide the steps to all the question! Excel file Question 5 (Mandatory) (2 points) Value at Risk (VaR). Consider a portfolio consisting of 7500 shares...

What are the principal alloying elements in SAE 4340 steel?

You are given the following information concerning options on a particular stock: Stock price = $63 Exercise price = $60 Risk-free rate = 6% per year, compounded continuously Maturity = 6 months...

You've observed the following returns on Crash-n-Bum Computer's stock over the past five years: 7 percent, -13 percent, 21 percent, 34 percent, and 15 percent. a. What was the arithmetic average...

Suppose the firm in Problem 2 paid out $95,000 in cash dividends. What is the addition to retained earnings? Data From Problem 2: Billy's Exterminators, Inc., has sales of $817,000, costs of...

Motion sickness often results from conflicting signals sent from the _______________ and from the __________. a. eyes; vestibular organs b. extremities; brain c. brain; internal organs d. conscious;...

When opening a door, the actual image on your retina changes drastically, but you still perceive the door as a rectangle. This is an example of a. color constancy. b. size constancy. c. shape...

The Mller-Lyer illusion occurs more frequently in a. people living in a Western culture. b. children than adults. c. men than women. d. individuals living in poverty.