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The daily volatility of Kuala Lumpur Stock (KLSE) index is 2.5 % and daily volatility of an option is 0.8%. Assuming you have choice to

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The daily volatility of Kuala Lumpur Stock (KLSE) index is 2.5 % and daily volatility of an option is 0.8%. Assuming you have choice to invest either one or both of them. However, if you invest both, there is correlation between KLSE and option of 0.6. b) What is the volatility of an option for 10 days? (2 marks)

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