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8527 · 2022年04月07日

这种题型判断是长期还是短期

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021205000062

问题如下：

A stock has an expected return of 15% and a volatility of 20%. The current price of the stock is USD 50,what is the mean and standard deviation of the continuously compounded return over three years?

选项：

解释：

The mean return (annualized) is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.13

the standard deviation of the return is

0.2/3  =  0.11550.2/\sqrt3\;=\;0.1155

麻烦老师帮我解答一下： 根据这道题,求三年期的stockprice，和上一题求6个月的stock price。 为什么在上一题求6个月的stock price是答案说因为这是长期的所以用 lognormal stock price的分布。可是在这题中3年期（比六个月更长），为什么又用回短期的那种平方分法则算mu 和 sigma了呢？


如果考试时遇到这种时间问题，多长时间算长期以及短期呢

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1 个答案

品职答疑小助手雍 · 2022年04月07日

同学你好，没人给这题的期限定义是短期啊，这题本来就不涉及期限，考的是常规的return和volatility转换成continuously compounded的转换。

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