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Annual standard deviation of continuous returns

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For a one-period binomial, what is the one-period up movement in the stock price and the one period down-movement in the stock price, if the current stock price is $90, its annual standard deviation of continuous returns is 30% and the option matures in 3 months?

a. $104.57 and $77.46

b. $102.23 and $98.03

c. $123.78 and $64.52

Reference no: EM131179388

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