5873数理金融中等数值题short
Straddle Premium Versus Expected Move
题目
A stock at 120 has 28% annualized implied vol over the next 30 trading days. Under a lognormal-approximated normal model, the expected absolute move is S·sigma·sqrt(T)·sqrt(2/pi). What is that expected absolute move, to four decimals (T = 30/252)?
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