Compute four implied volatilities in total

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Reference no: EM132064392

You are given the following information on two European call options written on stock XYZ at a strike of 175.

Maturity Price 11/16/18 Maturity Price 1/17/20 XYZ Price

4/11/18 $12.50 $20.10 $178.10

4/12/18 $9.75 $17.50 $172.55

Assume an annual interest of 2% and an annual dividend rate of 1%. Both rates are continuously compounded.

a) Compute the implied volatilities of both options on both dates. (You will compute four implied volatilities in total).

Reference no: EM132064392

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