A call option expiring in 2 months has a market price of


A call option expiring in 2 months has a market price of $10.40. The current stock price is $60, the strike price is $50, and the risk-free rate is 4% per annum. Calculate the implied volatility.

a) 20%

b) 25%

c) 30%

d) 35%

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Financial Management: A call option expiring in 2 months has a market price of
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