You are given the following information on a stock: Assume that the log returns are normally distributed.

Question:

You are given the following information on a stock:

Initial Price $25 Expected Annual Return per annum 8% Estimated Annual Volatility 20%

Assume that the log returns are normally distributed.

(a) Calculate the 95% prediction interval for the stock price in one year.

(b) Calculate the expected stock price and the standard deviation of the stock price in one year.

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Derivative Pricing

ISBN: 9780367734213

1st Edition

Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:18 AM

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You are given the following information on a stock: Assume that the log returns are normally distributed.

Question:

Initial Price $25 Expected Annual Return per annum 8% Estimated Annual Volatility 20%

Step by Step Answer:

a b As In S1 NIn 25 00...View the full answer

Derivative Pricing

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