Suppose that SPY is trading at S0 = $400. Consider a European call on SPY expiring at T = 1 month struck at K = $380. The market price of the call is $25?

Suppose that r = 0% so that P V ($1 at T=3 months) = $1. Assume that there are no dividends. Do we have enough information to find the price of a European put with the same strike and expiration? If so, what is the price?

Answer rating: 100% (QA)

The implied volatility of the option can be calculated using the Black Sch oles formula as follows V... View the full answer