Question
I am working on a practice exam provided by my Quantitative Finance professor and have a question regarding Part C. of the question. I tried
I am working on a practice exam provided by my Quantitative Finance professor and have a question regarding Part C. of the question. I tried to attach the spreadsheet with my answers/calculations to Parts A and B, but it doesn't look like I am able to so I wrote my answers below. The question is as follows:
A stock is currently trading at $10. Tomorrow there is a 30% chance it will trade at $12 and a 70% chance it will trade at $3.
A. What is the expected value of the stock? Answer: $5.70
B. What is the variance of the stock? Answer: $17.01
C. What is the expected value of a straddle that expires tomorrow (E=10) on the stock?
If there's a way I can send my excel spreadsheet or a pdf of it please let me know.
Thank you for any help.
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