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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