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Question regarding the black-scholes model

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Find the implied volatility of a stock when the current market price of a stock is 32.67 dollars and the current market price of a 13.33 month European call on the stock, with strike 32.67 dollars, is 1.57. The interest rate is 8.33 percent per year, continuously compounded. Assume that Black-Scholes model accurately determines the current market price of the option.

1. Volatility (standard deviation) of the stock implied by the market price of the stock assuming that the market prices European options using Black-Scholes model

Reference no: EM131044599

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