The basic calculation for volatility (denoted ) as used in option pricing is the annualized standard deviation

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The basic calculation for volatility (denoted σ) as used in option pricing is the annualized standard deviation of continuously compounded daily returns. Calculate volatility for Dollar General Corporation (NYSE: DG) based on its closing prices for two weeks, given in the table below. (Annualize based on 250 days in a year.)
Dollar General Corporation Daily Closing Stock Price
Date....................................... Closing Price ($)
27 January 2003.......................... 10.68
28 January 2003.......................... 10.87
29 January 2003.......................... 11.00
30 January 2003.......................... 10.95
31 January 2003.......................... 11.26
3 February 2003.......................... 11.31
4 February 2003.......................... 11.23
5 February 2003.......................... 10.91
6 February 2003.......................... 10.80
7 February 2003.......................... 10.47
Corporation
A Corporation is a legal form of business that is separate from its owner. In other words, a corporation is a business or organization formed by a group of people, and its right and liabilities separate from those of the individuals involved. It may...
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Quantitative Investment Analysis

ISBN: 978-1119104223

3rd edition

Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle

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