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Find the implied volatility of the stock

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Reference no: EM132771898

Problem 1: Suppose that a stock price at time zero is S0 = £57. The continuously compounded risk free rate is 2.7%. A European call option written on the stock with a strike price of £57 and time to expiry = 1 year has delta of 0.596 and trades for £7.7129. Find the implied volatility of the stock to the nearest 1%.

Reference no: EM132771898

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