10. For stocks 1 and 2, S1 = $40, S2 = $100, and the return correlation is...
Question:
10. For stocks 1 and 2, S1 = $40, S2 = $100, and the return correlation is 0.45. Let r = 0.08, σ1= 0.30, σ2 = 0.50, and δ1= δ2 = 0. Generate 1000 1-month prices for the two stocks. For each stock, compute the mean and standard deviation of the continuously compounded return. Also compute the return correlation.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
Question Posted: