The current price of a non-dividend-paying stock is $100. The risk free interest rate is 1%...
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The current price of a non-dividend-paying stock is $100. The risk free interest rate is 1% per year with continuous compounding. The implied volatility of a one-year at-the-money European vanilla call option is 0.2. (1). (2 points) What should be the implied volatility of a one-year at-the-money European vanilla put? (2). (3 points) Compute the price of the put. Express your result in terms of the standard normal cdf (e.g., if you get N(0.01), just keep N(0.01) in your answer.) The current price of a non-dividend-paying stock is $100. The risk free interest rate is 1% per year with continuous compounding. The implied volatility of a one-year at-the-money European vanilla call option is 0.2. (1). (2 points) What should be the implied volatility of a one-year at-the-money European vanilla put? (2). (3 points) Compute the price of the put. Express your result in terms of the standard normal cdf (e.g., if you get N(0.01), just keep N(0.01) in your answer.)
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PutCall Parity and Pricing 1 Implied Volatility of the Put The putcall parity relationship states that the present value of the call option equals the ... View the full answer
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