Hi, can anybody help me with this question ? The implied volatilities for...
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Accounting
Hi, can anybody help me with this question ?
The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 6 months are
20% and 22%. The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is
1 year are 18.8% and 20.2%. Using linear interpolation, what is the implied volatility for a strike
price of 1.12 and a time to maturity of 10 months?
thanks in advance!
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