20.26. Suppose that the price of gold at close of trading yesterday was $600, and its volatility...

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20.26. Suppose that the price of gold at close of trading yesterday was $600, and its volatility was estimated as 1.3% per day. The price at the close of trading today is $596. Update the volatility estimate using the EWMA model with l = 0.94.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 09:00 AM

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20.26. Suppose that the price of gold at close of trading yesterday was $600, and its volatility...

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Fundamentals Of Futures And Options Markets

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