NO.PZ2023091601000091
问题如下:
Consider a stock that pays no
dividends, has a vol. of 30% per annum, and provide an expected return of 15%
per annum with continuous compounding. The stock price movements follow GBM.
Consider a time interval of 1 week and the initial stock price is 100, then the
stock price increase has a normal distribution with:
选项:
A.Mean = 0.268%,
standard deviation = 4.03%
Mean = 0.278%,
standard deviation = 4.13%
Mean = 0.288%,
standard deviation = 4.16%
Mean = 0.288%,
standard deviation = 4.27%
解释:
什么叫做平方根法则?