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14. (2 points): Some asset follows as dynamic dSt/St = 0.1dt + 0.35dWt. To calibrate some model you need to compute o =
Posted: Sun Jun 05, 2022 7:05 am
by answerhappygod
- 14 2 Points Some Asset Follows As Dynamic Dst St 0 1dt 0 35dwt To Calibrate Some Model You Need To Compute O 1 (37.56 KiB) Viewed 43 times
14. (2 points): Some asset follows as dynamic dSt/St = 0.1dt + 0.35dWt. To calibrate some model you need to compute o = √Var(S₁/So), that is the volatility at the 1 year horizon. Currently So = 20 and you find up to rounding the following value of σ: ✔: 40% 6:42% Ⓒ: 44% @: none of those answers