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State Price Probability Dividend Realized return E[r] R-Rexp ^2 Pi*(R-Rexp)^2 1 47,00 0,15 10 0,14 0,0955 0,04 0,002 0,000297038 2 44,50 0,15 10 0,09 0,0955
State | Price | Probability | Dividend | Realized return | E[r] | R-Rexp | ^2 | Pi*(R-Rexp)^2 |
1 | 47,00 | 0,15 | 10 | 0,14 | 0,0955 | 0,04 | 0,002 | 0,000297038 |
2 | 44,50 | 0,15 | 10 | 0,09 | 0,0955 | -0,01 | 0,000 | 0,000004538 |
3 | 43,50 | 0,30 | 10 | 0,07 | 0,0955 | -0,03 | 0,001 | 0,000195075 |
4 | 45,00 | 0,40 | 10 | 0,10 | 0,0955 | 0,00 | 0,000 | 0,000008100 |
E[r] | 0,0955 | Variance | 0,000504750 | |||||
St.d. | 0,022466642 | |||||||
State | Realized return | E[r] | R-Rexp | ^2 | Pi(R-Rexp)^2 | |||
1 | -0,0700 | 0,0860 | -0,1560 | 0,024336 | 0,003650 | |||
2 | 0,1300 | 0,0860 | 0,0440 | 0,001936 | 0,000290 | |||
3 | 0,1500 | 0,0860 | 0,0640 | 0,004096 | 0,001229 | |||
4 | 0,0800 | 0,0860 | -0,0060 | 3,6E-05 | 0,000014 | |||
E[r] | 0,0860 | Variance | 0,005184 | |||||
St.d. | 0,072000 | |||||||
Covariance | ||||||||
Correlation |
How to calculate covariance?
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