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St deviation in Black Scholes

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › St deviation in Black Scholes

  • This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.
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  • August 21, 2017 at 6:28 am #402717
    abbas7796
    Member
    • Topics: 135
    • Replies: 256
    • ☆☆☆

    hello John

    the st deviation in Black Scholes questions is normally given as variance %. however is this annual?

    suppose if the question says that the monthly st deviation of shares is 25%. in this case what number do we use for our formula for Black Scholes?

    please help

    thanks

    August 21, 2017 at 10:22 am #402744
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54699
    • ☆☆☆☆☆

    It is annual.

    If you were given the monthly variance, then the annual variance is 12 times the monthly variance (and therefore the annual std deviation is the monthly std deviation x the square root of 12).

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