NO.PZ2022071202000063
问题如下:
Question If the price of a stock goes from $15.00 to $16.20 in one year, the continuously compounded rate of return is closest to:选项:
A.7.70%. B.8.33%. C.8.00%.解释:
Solution
A is correct. The continuously compounded rate of return is calculated with the following formula: r0,T = ln(ST/S0)where
r0,T = r0,1 = and is the continuously compounded rate of return from time 0 to time T (1 year)
S0 = 15.00 and is the price of the stock at time 0
ST = 16.20 and is the price of the stock at time T (1 year)
The continuously compounded rate of return is: r0,1 = ln(16.20/15.00) = 7.70%.
Alternatively, the end of period price, 16.20 can be found from 15.00 × e0.077×1.
B is incorrect. It is calculated as: exp(Holding period return) - 1= exp[(16.20/15.00)-1 ] - 1 = exp(8.00%) - 1 = 8.33%.
C is incorrect. It is the holding period return: (16.20/15.00) - 1 = 8.00%.
答案的公式是哪里来的 课程中有讲么?在哪部分