Problema six-month twitter call option with an exercise, Ask an Expert

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Problem:

A six-month Twitter call option with an exercise price of $50.00 was traded at $4.25 per option on February 27, 2015. Assume that the risk free rate was 1.2% per year and stock price for Twitter on February 27, 2015 was $48.08. Twitter Inc. does not plan to pay dividends in the coming year.

Required:

Question: What was the implied price volatility (variance) of the underlying stock price?

Note: Please provide reasons to support your answer.

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Basic Finance, Finance

Category:- Basic Finance
Reference No.:- M91163232

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