Which of the Following Statements Is Incorrect About the Historical

question 42

Multiple Choice

Which of the following statements is incorrect about the historical volatility?

• A)if used in the Black-Scholes-Merton model,it gives the current market price
• B)it is based on the volatility of the log return on the stock
• C)it requires a sample of recent returns
• D)it should be converted to an annualized volatility
• E)none of the above

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Definitions:

Educated Guess

An assumption or prediction based on knowledge, experience, and reasoning, often used in the context of forming a hypothesis.

Relationship Between Variables

The way in which two or more variables are associated with one another, which can be positive, negative, or neutral.

Hypothesis

A proposed explanation for a phenomenon, forming the basis for experimentation to validate or invalidate through observation and experimentation.

Theorem

A statement or proposition that is proven on the basis of previously established statements or proofs.