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What is the implied volatility of the call option

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Reference no: EM133111447

Stock ABC has a current price of $25 and does not pay any dividends. An options trader, an alumnus of FIN 4021 class, pays $2 for a European call option written on this stock with a strike of $30. The call option will expire in one year. Finally, current interest rate is at 1% annually. The trader believes in the assumptions of the Black-Scholes model. What is the implied volatility of the call option?

Reference no: EM133111447

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