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At present the shares of Microsoft Corp. Trade at USD 50. The monthly risk neutral probability of the price increasing by USD 5 is 40% and the risk neutral probability of the price decreasing by USD 5 is 60%. You are required to find out the mean and Standard deviation of the price of Microsoft Corp. after 2 months if the change in price is independent for consecutive months?
Choose one answer.
a. Mean = 48, SD = 6.93
b. Mean = 48, SD = 6.12
c. Mean = 36, SD = 6.93
d. Mean = 36, SD = 6.12
Choose one answer.
a. Mean = 48, SD = 6.93
b. Mean = 48, SD = 6.12
c. Mean = 36, SD = 6.93
d. Mean = 36, SD = 6.12