NO.PZ2023041003000049
问题如下：
Solomon observes that the market price of the
put option in Exhibit 2 is $7.20. Lee responds that she used the historical
volatility of the GPX of 24% as an
input to the BSM model, and she explains the implications for the implied volatility
for the GPX.
Based
on Solomon’s observation about the model price and market price for the put
option in Exhibit 2, the implied volatility for the GPX is most likely:
选项：
A.less than the historical volatility.
equal to the historical volatility.
greater than the historical volatility.
解释：
The put is priced at $7.4890 by the BSM model
when using the historical volatility input of 24%. The market price is $7.20.
The BSM model overpricing suggests the implied volatility of the put must be lower
than 24%.
BSM call（14.2089） < market call（14.26）
说明市场的implied volatility > 24%
