The option expires on march 20 2007 estimate the price of a, Financial Management

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The option expires on march 20 2007 estimate the price of a

The Dow Jones Industrial Average on January 12, 2007, was 12,556 and the price of the March 126 call was $2.25. Use the DerivaGem software to calculate the implied volatility of this option. Assume the risk-free rate was 5.3% and the dividend yield was 3%. The option expires on March 20, 2007. Estimate the price of a March 126 put. 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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