(i) Using the market data in Figure 20.10 and a risk-free rate of 0.25% per annum, calculate the…

(i) Using the market data in Figure 20.10 and a risk-free
rate of 0.25% per annum, calculate the implied volatility of Google stock in
September 2012, using the bid price of the 700 January 2014 call option.

(ii) Roslin Robotics stock has a volatility of 35% and a
current stock price of $60 per share. Roslin pays no dividends. The risk-free
interest is 5%. Determine the Black-Scholes value of a oneyear, at-the-money
call option on Roslin stock.

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