The Black-Scholes Price of a Three-Month 50-Strike Put Option Is

question 26

Multiple Choice

The Black-Scholes price of a three-month 50-strike put option is $0.75. The stock is trading at $49. Given an interest rate of 2%, and no dividends, what is the implied volatility of the stock extracted from this option?

• A) 0.55
• B) 0.66
• C) 0.77
• D) 0.88

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