A stock is currently trading at $100. Consider a European call option with 1 year to...

A stock is currently trading at $100. Consider a European call option with 1 year to maturity
and strike price $105. The continuously compounded risk-free interest rate is 10% per annum.
The option currently trade at $7.5 Calculate the implied volatility.

Expert Solution

Implied volatility is 11.78%

jeff jeffy answered 1 year ago

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