Assume the BlackScholes framework. Let S(t) denote the time-t price of a stock, which pays dividends continuously

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Assume the BlackScholes framework. Let S(t) denote the time-t price of a stock, which pays dividends continuously at a rate proportional to its price.

You are given:

(i) S(0) = 8

(ii) The 90% lognormal prediction interval for S(2) is (13.10, 41.93).

Calculate the width of the 95% lognormal prediction interval for S(4).

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Derivative Pricing

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:18 AM

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Assume the BlackScholes framework. Let S(t) denote the time-t price of a stock, which pays dividends continuously

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Derivative Pricing

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