Math Question 10 (BONUS): Assume the Black-Scholes framework…
Math Question 10 (BONUS): Assume the Black-Scholes framework. Let the current price of a continuous-dividend paying stock be $80. The continuously compounded annual dividend yield rate is 3%. Let the continuously compounded annual risk-free interest rate be 5%. Consider a European call on the above stock with a 3 months to exercise and with the strike price equal to $80e0.01. The current delta of this call option is 0.496264. What is the volatility of the stock?Enter your answer as a decimal rounded to two places.
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