Calculate the VaR at the 99 % level over, variously, 1 month, 3 months, and 6 months,

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Calculate the VaR at the 99 % level over, variously, 1 month, 3 months, and 6 months, for a stock whose initial price is $45, whose drift is 2 %, and whose volatility is 23 %.

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Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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