Question
1.Suppose that an asset price is $100 and that its daily volatility is 1.6%. a.What would be a two-standard deviation move in the asset price
1.Suppose that an asset price is $100 and that its daily volatility is 1.6%.
a.What would be a two-standard deviation move in the asset price in two days?
b.You think that the asset price at the end of five days will be between $100 and 110. How confident should you be if you assume returns are normally distributed with mean 0?
c.Again assuming normality (mean 0), what's the probability that the stock price will be 90 or less at that time?
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International financial management
Authors: Jeff Madura
12th edition
1133947832, 978-1305195011, 978-1133947837
