Problem

23. Suppose an at-the-money forward call with one month to maturity is trading at a price...

23. Suppose an at-the-money forward call with one month to maturity is trading at a price of C = 0.946 when the stock price is St = 54.77.

(a) Using the approximation (10), what is the implied volatility on the call?

(b) What if the call were trading at C= 1.576 instead?

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Solutions For Problems in Chapter 14