If the stock price is 44, the exercise price is 40, the put price is 1.54, and the Black-Scholes-Merton price using 0.28 as the volatility is 1.11, the implied volatility will be
a. higher than 0.28
b. lower than 0.28
c. 0.28
d. lower than the risk-free rate
e. none of the above
Answer: A
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