The Dow Jones Industrial Average on July 20, 2016, was 18,580 and the price of...
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The Dow Jones Industrial Average on July 20, 2016, was 18,580 and the price of a September 185 (European) call option on the index was $3.35. Assume the volatility is 10.23%, the risk-free rate was 0.7% and the dividend yield was 2.75%. The option expires on September 16, 2016. Estimate the price of a September 185 put option. What is the volatility implied by the price you estimate for this option? (Note that options are on the Dow Jones index divided by 100.)
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