5791金融与交易简单数值题short
Width From Volatility Doubling
题目
A desk sets half-spread proportional to expected holding-period volatility: h = c*sigma*sqrt(T). It currently quotes h=0.05 at sigma=0.02 per unit-sqrt-time and T=1. If realized volatility doubles to sigma=0.04 and expected holding time rises to T=4, what half-spread should it quote (same c)?
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