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Question
22. If e is the base of natural logarithms, and (s) is the standard deviation of the continuously compounded annual returns on the asset, and h is the interval as a fraction of a year, then the quantity (1 + upside change) is equal to:
A. e^[(s) * SQRT(h)]
B. e^[h SQRT(s)]
C. (s) e^[SQRT(h)]
D. none of the above.
Answer
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Related questions
Q:
Suppose VS's stock price is currently $20. In the next six months it will either fall to $10 or rise to $30. What is the current value of a put option with an exercise price of $15? The six-month risk-free interest rate is 5% (periodic rate).
A. $5.00
B. $2.14
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Q:
Suppose Ralph's stock price is currently $50. In the next six months it will either fall to $30 or rise to $80. What is the option delta of a call option with an exercise price of $50?
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Q:
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