In the Black-Scholes-Merton model, what happens to the standard deviation of the continuously compounded rate of return

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In the Black-Scholes-Merton model, what happens to the standard deviation of the continuously compounded rate of return as the length of the time period over which it is measured increases?

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Options Futures And Other Derivatives

ISBN: 9780136939979

11th Edition

Authors: John C. Hull

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Question Posted: Mar 26, 2024 05:00 AM

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In the Black-Scholes-Merton model, what happens to the standard deviation of the continuously compounded rate of return

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