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lion · 2023年03月28日

求解释。。。

NO.PZ2020021205000062

问题如下:

A stock has an expected return of 15% and a volatility of 20%. The current price of the stock is USD 50,what is the mean and standard deviation of the continuously compounded return over three years?

解释:

The mean return (annualized) is 0.150.22/2  =  0.130.15-0.2^2/2\;=\;0.13

the standard deviation of the return is

0.2/3  =  0.11550.2/\sqrt3\;=\;0.1155

和上一题为什么不一样?。。。

1 个答案

品职答疑小助手雍 · 2023年03月29日

同学你好,因为问题不同,这题问的是 continuously compounded return,上题不是

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