Question
2- Assume that the market has an expected return of 12% and volatility (standard deviation) of 20%. Company X has a 50% volatility (standard deviation).
2- Assume that the market has an expected return of 12% and volatility (standard deviation) of 20%. Company X has a 50% volatility (standard deviation). The correlation between the market and Company X is 90%. The risk-free rate is 3%. What would be the expected return on Company X?
a)23%
b)23,25%
c)23,50%
d)23,75%
other:
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Commodity Option Pricing A Practitioner's Guide
Authors: Iain J. Clark
1st Edition
1119944511, 978-1119944515
