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Amy_ywh · 2023年11月11日

所以compounded rate 就是用ln对么 不可以直接用EAR算么

NO.PZ2022123001000008

问题如下:

The price of a stock at t = 0 is $208.25 and at t = 1 is $186.75. The continuously compounded rate ofreturn for the stock from t = 0 to t = 1 is closest to:

选项:

A.–10.90% B.–10.32% C.11.51%

解释:

The continuously compounded return from t = 0 to t = 1 is r0,1 = ln(S1/S0) = ln(186.75/208.25) = –0.10897 = –10.90%.

RT

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星星_品职助教 · 2023年11月11日

同学你好,

这里的原理实际也和EAR有关。不过,直接记忆公式更为便捷:continuously compounded return=Ln(End price / Beginning price).

遇到类似的题目直接代入数字按计算器就可以。