Test bank fundamentals of futures and options markets 7e by hull chapter 20

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Ngày đăng: 28/02/2018, 13:41

... the end of Friday? _ (ii) What is an estimate of the volatility per day of asset B at the end of Friday? (iii)What is an estimate of the correlation between the assets at the end of Friday?... end of Thursday, the volatility of asset A is 2% per day and the volatility of asset B is 1% per day Also the covariance between the assets is 0.0001 During Friday asset A produces a return of. .. 3% and asset B produces a return of zero An EWMA model with   09 is used Answer the following questions giving two decimal place accuracy (i) What is the estimate of the volatility per day of
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