Assume that the cost of insuring an index fund atmf s pv k


Question: Assume that the cost of insuring an index fund ATMF (S = PV (K)) is 6%. The contract is for 3 months. What is the implied volatility? Assume a Black-Scholes-Merton world BUT you cannot use a B-S-M software. Show your computation (no credit if no computation).

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Finance Basics: Assume that the cost of insuring an index fund atmf s pv k
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