What is the implied volatility of the underlying stock

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Let S = {S(t), t > 0) denote the price of a continuous dividend paying stock. The prepaid forward price for delivery of one share of this stock in one year equals $98.02.

A ssume that the Black-Scholes model is used for the evolution of the stock price. Consider a European call and European put option both with exercise date in one year. They have the same strike price and the same Black-Scholes price equal to $9.37. What is the implied volatility of the underlying stock?

Reference no: EM132399179

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