Brian邵彬 · 2024年11月18日
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?
选项：
解释：
The mean return (annualized) is
the standard deviation of the return is
这道题可不可以理解为15%和20%是return sample mean and sample SD?
NO.PZ2020021205000062 问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2 = 0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3 = 0.11550.2/\sqrt3\;=\;0.11550.2/3=0.1155 请问这个讲义里，做面u是expectereutrn per ye,右边绿框中的是不是valatility of thre return?
NO.PZ2020021205000062问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2 = 0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3 = 0.11550.2/\sqrt3\;=\;0.11550.2/3=0.1155和上一题为什么不一样？。。。
NO.PZ2020021205000062 问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2 = 0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3 = 0.11550.2/\sqrt3\;=\;0.11550.2/3=0.1155 老师，为什么不用No.PZ2020021205000062的方法？老师，基础讲义470和472页的公式的适用情景分别是什么？这里没学明白，做题感觉很晕，不知道用哪个公式，麻烦讲解下，谢谢您。
NO.PZ2020021205000062问题如下A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2 = 0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3 = 0.11550.2/\sqrt3\;=\;0.11550.2/3=0.1155麻烦老师帮我解答一下 根据这道题,求三年期的stockprice，和上一题求6个月的stoprice。 为什么在上一题求6个月的stoprice是答案说因为这是长期的所以用 lognormstoprice的分布。可是在这题中3年期（比六个月更长），为什么又用回短期的那种平方分法则算mu 和 sigma了呢？如果考试时遇到这种时间问题，多长时间算长期以及短期呢
