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果儿 · 2019年12月15日

问一道题:NO.PZ2018062016000104

问题如下:

A financial analyst is examining whether a two years price of stock A, last year is $45, this year is 77, what is most likely correct?

选项:

A.

the continuously compounded rate of return is 53.71%

B.

the continuously compounded rate of return is 71.11%

C.

the continuously compounded rate of return is 43.32%

解释:

A is correct. the continuously compounded rate of return is ln(77/45)=0.5371.

这个知识点是哪里的?

1 个答案

星星_品职助教 · 2019年12月16日

同学你好,

这道题考察的是连续复利的求法,这个是lognormal distribution下的知识点,公式就是连续复利R=ln(S1/S0),如果忘了,视频上老师有推导,加油



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