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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Definitions:

Physiological Indexes

Measurements or indicators that are related to the physical and biological functions of the body.

Chemical Changes

Transformations in matter that result in the formation of new substances with different properties from the original substances.

Brain Rhythms

Patterns of neuronal activity in the brain that can manifest as oscillatory waves across various frequencies, essential for various aspects of brain function including sleep, cognition, and sensory processing.

Expectations

Preconceived notions or beliefs about what will happen or is likely to happen in the future.