Q13. A stock's historical standard deviation is 15% annualized, computed over the last 60 days. E4711...

 

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Q13. A stock's historical standard deviation is 15% annualized, computed over the last 60 days. E4711 Prof. Dastidar How would the price of a call option of this stock expiring after the next 90 days change, if this historical standard deviation had been 20%, instead of 15%? The schedule and outlook for the important announcements of the company over the next two months have not changed (2 points) Q13. A stock's historical standard deviation is 15% annualized, computed over the last 60 days. E4711 Prof. Dastidar How would the price of a call option of this stock expiring after the next 90 days change, if this historical standard deviation had been 20%, instead of 15%? The schedule and outlook for the important announcements of the company over the next two months have not changed (2 points)

Answer rating: 100% (QA)

The price of a call option is influenced by various factors including the stocks historical standard deviation An increase in the standard deviation o... View the full answer