Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Assume the stock price follows a geometric Brownian motio n, where current price S0=50, expected return =0.02 and volatility =0.80. The risk-free interest rate r=0.05
Assume the stock price follows a geometric Brownian motion, where current price S0=50, expected return =0.02 and volatility =0.80. The risk-free interest rate r=0.05 p.a.
Q. Suppose that an investor short-sells 100,000 shares of the stock, what is the amount of loss that the investor is 99% certain that will not be exceeded in 1 months time?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started