Question
From historical returns data on Lotus, we know its mean is 19% and volatility is 50% per year. Assume Lotus stock prices follow the lognormal
From historical returns data on Lotus, we know its mean is 19% and volatility is 50% per year. Assume Lotus stock prices follow the lognormal distribution or the geometric Brownian motion, and its current price is $17.50.
a) What is the 68% confidence interval of the stock price in one month?
b) What is the 95% confidence interval of the stock price in one month?
c) What is the 99.7% confidence interval of the stock price in one month?
Step by Step Solution
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Step: 1
To calculate the confidence intervals of the stock price in one month we can use the lognormal distr...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
