Considering the standard deviation of returns in option pricing,
1 + upside change = u = e^(σ
).

Name: Considering the standard deviation of returns in option pricing, 1 + upside change = u = e^(σ ).
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Question

Considering the standard deviation of returns in option pricing,
1 + upside change = u = e^(σ  
).

Quizplus · Accepted Answer

The formula for the upside change (u) in option pricing is calculated using the standard deviation of returns (σ). The formula is u = e^(σ√T) where T is the time period. Therefore, the statement is true.

Considering the Standard Deviation of Returns in Option Pricing