Multiple Choice
The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 6 months are 20% and 22%.The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 1 year are 18.8% and 20.2%.Using linear interpolation,what is the implied volatility for a strike price of 1.12 and a time to maturity of 10 months?
A) 19.24%
B) 19.52%
C) 20.48%
D) 19.96%
Correct Answer:
Verified
Correct Answer:
Verified
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