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尼克内姆 · 2019年12月15日

问一道题:NO.PZ2018062016000093

问题如下:

The stocks of AAA company have a changing closing price over the last 3 month:

From May to July, the continuously compounded return of AAA company's stocks is:

选项:

A.

18.61%

B.

17.34%

C.

16.89%

解释:

A is correct. Based on definition, for a certain period, the continuously compounded return = the natural log of the period’s change. So we can calculate that: ln(159/132) = 18.61%

LN(FV/PV)=nr 为什么解答直接等于r呢????

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,公式我建议直接套用上课时候的讲过的连续复利R=ln(S1/S0) 更为方便一些。这道题里159为S1,132为S0。如果公式忘了,视频上老师有推导,加油



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NO.PZ2018062016000093问题如下 The stocks of Acompany have a changing closing priover the last 3 month:From Mto July, the continuously compounreturn of Acompany's stocks is:A.18.61%B.17.34%C.16.89%A is correct. Baseon finition, for a certain perio the continuously compounreturn = the naturlog of the perios change. So we ccalculate that: ln(159/132) = 18.61%1.ppt上的s1/s0=eʳ,但是这里是只有三个月而不是一年,为什么eʳ不用总体再1/4次方(即三个月),r是年名义利率(投资率)2.题目所求的continuously compounng rate翻译成中文是求什么?

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