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
Correct Answer:
Verified
Correct Answer:
Verified
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