Suppose that a stock price has an expected return of 16 per annum and a volatility of 30 per annum When the stock price at the end of a certain day is $50, calculate the following (a) The expected stock price at the end of the next day (b) The standard deviation of the stock price at the end of the next day (c) The 95 confidence limits for the stock price at the end of the next day With the notation in the text Oct 2017 Feb 2019 Aug 2019 Feb 2018 Aug 2018 Date Spot Price Mar 2018 Futures Price Sep 2018 Futures Price Mar 2019 Futures Price Sep 2019 Futures Price 372 00 377 00 388 00 369 00 365 00 372 30 369 10 372 80 370 20 364 80 364 30 376 70 370 70 388 20 364 20 376 50

Question: Suppose that a stock price has an expected return of 16% per annum and a volatility of 30% per annum. When the stock price at

Suppose that a stock price has an expected return of 16% per annum and a volatility of 30% per annum. When the stock price at the end of a certain day is $50, calculate the following:

(a) The expected stock price at the end of the next day.

(b) The standard deviation of the stock price at the end of the next day.

Oct 2017 Feb 2019 Aug 2019 Feb 2018 Aug 2018 Date Spot Price Mar 2018 Futures Price Sep 2018 Futures Price Mar 2019 Futures Price Sep 2019 Futures Price 372.00 377.00 388.00 369.00 365.00 372.30 369.10 372.80 370.20 364.80 364.30 376.70 370.70 388.20 364.20 376.50

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