Find the implied volatility (to 2 decimals, for example, o = 8.23%) of a Put option...

 

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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 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

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