The following table shows a possible sequence of stock pricesduring 21 consucutive trading days: Days 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Closing stock price

in dollars 20.00 20.10 19.90 20.00 20.50 20.25 20.90 20.90 20.90 20.75 20.75 21.00 21.10 20.90 20.90 21.25 21.40 21.40 21.25 21.75 21.75 22.00

Calculate estimate the volitality of stock from historical data

(20)

Consider a stock with an initial price of $40, an exected return of 16% per annum, and a volatility of 20% per annum. Find the 95% confidence interval about range of stock price in 6 months. (10)

, A companys cash position, measured in millions of dollars, follows a generalized Wiener process with a drift rate of 0.1 per month and a variance rate of 0.16 per month. The initial cash position is 2.0. a. What are the probability distribuntions of the cash osition after 1 month; b. After 6 months; c. After 1 year? (2 each)

Suppose volitality of a stock is 30% er annum and the current stock price is $50. Find the standard deviation of the percentage change in the stock price in 1 week. (4)