Problem 266 of 333MediumFinanceP266

Implied volatility by hand

A one-year at-the-money call on a $100 stock trades at $10.00. Rates are zero and the stock pays no dividends.
(a) Estimate the implied volatility in your head.
(b) Improve the estimate with one Newton step. You may use $N(0.125) = 0.54974$ and $\varphi(0.125) = 0.39584$ .
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