Suppose that the daily volatility of the FT SE 100 stock index (measured in pounds sterling) is 1 8 and the daily volatility of the dollar sterling exchange rate is 0 9 Suppose further that the correlation between the FT SE 100 and the dollar sterling exchange rate is 0 4 What is the volatility of ...

The FTSE expressed in dollars is where is the FTSE expressed in sterling and is the e ...

Suppose that the daily volatility of the FT-SE 100 stock index (measured in pounds sterling) is 1.8%

Question:

Suppose that the daily volatility of the FT-SE 100 stock index (measured in pounds sterling) is 1.8% and the daily volatility of the dollar/sterling is 0.9%. Suppose further that the correlation between the FT-SE 100 and the dollar/sterling is 0.4. What is the volatility of the FT-SE 100 when it is translated to U.S. dollars? Assume that the dollar/sterling is expressed as the number of U.S. dollars per pound sterling. Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...