We are pricing an option for an underlying S with initial price S0=12. However, we are not under the assumptions of Black-Scholes. More specifically, we assume that the implied volatility follows a sticky-strike model.
For an option at strike K=13, the implied volatility is σ=0.3. At time 1, the underlying price is S1=15. What is the implied volatility of the K=13 strike option?
