16.23. Suppose that the price of gold at close of trading yesterday was $300, and its volatility...

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16.23. Suppose that the price of gold at close of trading yesterday was $300, and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. Update the volatility estimate using the EWMA model with = 0.94.

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Fundamentals Of Futures And Options Markets

ISBN: 9780130176028

4th Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 03:00 AM

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16.23. Suppose that the price of gold at close of trading yesterday was $300, and its volatility...

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Fundamentals Of Futures And Options Markets

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