medium · Quantitative Finance
A trader uses Newton's method to find the implied volatility (σ) of a call option. The market price is 4.50. At the current guess of σ_0 = 0.30, the model price is 4.038 and the vega is 13.62.
What is the updated guess σ_1?
- 0.2661
- 0.3033
- 0.3339
- 0.3500
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