The current price of a non-dividend-paying stock is $223. The risk-free rate is 2.4% (continuously compounded).

A European put option on the stock has a strike price of $240, expires in 0.6 years, and costs $44.54. 

 Inputs 

stock price= 233

Exercise price= 240

Expiration (years)= 0.6

St. dev. of returns= 1

Put price=44.54

Risk-free rate0.024

What is the implied volatility? 

Answer rating: 100% (QA)

To calculate the implied volatility of the European put option we can use an option pricing model such as the BlackScholes model and solve for the vol... View the full answer