Assume that a stock price increased from 20 to 24 in 3 months. What is the...
Assume that a stock price increased from 20 to 24 in 3 months. What is the implied annual volatility in the context of one step binomial trees?
a-0,205
b-0,425
c-0,365
d-0,305
Homework Answers
S0*exp(volatility*sqrt(t))=Su
=>20*exp(volatility*sqrt(3/12))=24
=>volatility*sqrt(3/12)=ln(24/20)
=>volatility=ln(24/20)*1/sqrt(3/12)
=>volatility=36.4643%=0.364643
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Assume that a stock price increased from 20 to 24 in 3 months.
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