"quantity"exercise:Distribution of future stock prices
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Questions 1:
If a stock’s continuously compounded return is normally distributed, then the distribution of the future stock price is best described as being:
A 、normal.
B、 a Student’s t.
C、 lognormal.
Questions 2:
A US Treasury bill (T-bill) has 90 days to maturity and a bank discount yield of 3.25%. The effective annual yield (EAY) for the T-bill is closest to:
A 、3.29%.
B、 3.32%.
C 、3.36%.
C is correct. If a stock’s continuously compounded return is normally distributed, then the future stock price is necessarily lognormally distributed. A is incorrect. If a stock’s continuously compounded return is normally distributed, then future stock price is necessarily lognormally distributed. B is incorrect. If a stock’s continuously compounded return is normally distributed, then future stock price is necessarily lognormally distributed.
C is correct. The initial price (P0) of the T-bill is calculated as follows:
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