black

登录

单项选择题

一家银行使用λ=0.9的指数加权移动平均(EWMA)方法对证券的每日波动率进行建模。当前的每日波动率为1.5%。证券昨天的价格为20美元,今天的价格为18美元。使用连续复利收益率,更新以后的波动率估计是多少?

A.62%
B.31%
C.96%
D.44%
相关考题

单项选择题 关于模型中Meta配置错误的说法是:

未知题型 请下载附件压缩文件,按要求提交作业。

未知题型 4.1 For each of the following, state in which day book the transaction would be recorded. (a) Sales made on credit. (b) Goods previously purchased by the business sent back to the original supplier. (c) Stock taken out of business for private use. (d) Cheque paid out to settle account relating to the purchase of goods for resale. (e) Fixed asset sold with payment received by cheque. (f) Furniture bought on credit specifically for resale.

All Rights Reserved 版权所有©PP题库网库(pptiku.com)

备案号:湘ICP备14005140号-5

经营许可证号:湘B2-20140064