The Standard Deviation of Continuously Compounded Changes in the £ $\sigma$

question 34

Multiple Choice

The standard deviation of continuously compounded changes in the £/$ spot rate is estimated to be $\sigma$ = 0.0082 = 0.82% per trading day. There are 252 business days in a year. Assuming zero volatility on nontrading days (weekends and holidays) , what is the annual standard deviation of continuously compounded changes in the £/$ spot rate?

• A) 13.02%
• B) 15.11%
• C) 206.64%
• D) 228.20%
• E) Cannot be determined from the information given

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