Question
Example 1 The volatility of a stock is 22% per annum. Under the probability distribution assumptions of the BSM model, estimate the standard deviation of
Example 1 The volatility of a stock is 22% per annum. Under the probability distribution assumptions of the BSM model, estimate the standard deviation of the percentage price change in: a) one day, b) one week c) one month. d) If the current stock price is $47, what is the dollar value of a one-standard-deviation move at the stock price in one day?
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Glencoe Business And Personal Finance
Authors: McGraw-Hill
1st Edition
0021400202, 9780021400201
