Suppose a market-maker writes a European call option on a nondividend-paying stock with strike price 50 and 3 months to

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Suppose a market-maker writes a European call option on a nondividend-paying stock with strike price 50 and 3 months to

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Suppose A Market Maker Writes A European Call Option On A Nondividend Paying Stock With Strike Price 50 And 3 Months To 1
Suppose A Market Maker Writes A European Call Option On A Nondividend Paying Stock With Strike Price 50 And 3 Months To 1 (52.91 KiB) Viewed 43 times
Suppose a market-maker writes a European call option on a nondividend-paying stock with strike price 50 and 3 months to expiration. Given the current stock price 50, the cost of delta hedging for the market-maker is 30.895. Suppose the annualized continuously compounded risk-free rate is 10%. Then, what is the implied volatility of the stock given that it is less than 1?
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