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SPX index at 3000. Assume normal distribution for index price. Consider a Binary CALL option...

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Finance

SPX index at 3000. Assume normal distribution for index price. Consider a Binary CALL option with strike of 3250.

a. If IV is 30%, what is fair price for the BINARY call (5 points)?

b. If the binary call is price at 0.20, what is the implied volatility (aka implied stdev) (5 points)?

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