Problem

15. GE stock is currently trading at $26.15. A call option with a strike of $25.00 and 12...

15. GE stock is currently trading at $26.15. A call option with a strike of $25.00 and 12 days (= 0.0476 years) to expiry costs $1.56. Assuming an interest rate of 3%, what is the implied volatility?

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Solutions For Problems in Chapter 14