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

Question

Quizplus · Accepted Answer

The Answer of 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

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