Question
1. The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading
1. The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading yesterday was $30.00. The parameter in the EWMA model is 0.94. Suppose that the price of the asset at the close of trading today is $30.50. How will this cause the volatility to be updated by the EWMA model?
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
