Question

The volatility of a stock price is $30 \%$ per annum. What is the standard deviation of the percentage price change in one trading day? 

   The volatility of a stock price is $30 \%$ per annum. What is the standard deviation of the percentage price change in one trading day?
Options, Futures, and Other Derivatives
Options, Futures, and Other Derivatives
John C. Hull 10th Edition
Chapter 15, Problem 2 ↓

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To convert the annual volatility to a daily volatility, we need to divide the annual volatility by the square root of the number of trading days in a year. Let's assume there are 252 trading days in a year. Daily volatility = Annual volatility / sqrt(Number of  Show more…

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The volatility of a stock price is $30 \%$ per annum. What is the standard deviation of the percentage price change in one trading day?
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