Question

If the volatility of a stock is $18 \%$ per annum, estimate the standard deviation of the pereentage price change in (a) 1 day, (b) 1 week, and (c) 1 month.

   If the volatility of a stock is $18 \%$ per annum, estimate the standard deviation of the pereentage price change in (a) 1 day, (b) 1 week, and (c) 1 month.

Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 15, Problem 26

Instant Answer

Step 1

Since there are approximately 252 trading days in a year, we can use the formula: Daily Volatility = Annual Volatility / sqrt(252) Daily Volatility = 18% / sqrt(252) = 1.13% Show more…

Show all steps

lock

Thanks for your feedback!

If the volatility of a stock is $18 \%$ per annum, estimate the standard deviation of the pereentage price change in (a) 1 day, (b) 1 week, and (c) 1 month.

Play audio

Feedback

Powered by NumerAI

Ace is your personal tutor. It breaks down any question with clear steps so you can learn.

Start Using Ace

Continue solving this problem

Create a free account to:

View full step-by-step solution
Ask follow-up questions with Ace AI
Save progress and study later