A Call Option with a Strike Price of $85 Is

question 15

Multiple Choice

A call option with a strike price of $85 is currently trading at $6.17. The stock price is $86 and the risk-free rate is 5 percent. If the option has 48 days to maturity, what is the implied standard deviation?

• A) 47.29%
• B) 52.18%
• C) 57.21%
• D) 43.44%
• E) 38.67%

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