Currently, shares of ABC Corp. trade at USD 100. The monthly risk neutral probability of the price increasing by USD 10 is 30%. And the probability of the price decreasing by USD 10 is 70%. What are the mean and standard deviation of the price after 2 months if price changes on consecutive months are independent?
|
Mean
|
Standard Deviation
|
|
a. 70
|
11.32
|
|
b. 70
|
12.96
|
|
c. 92
|
11.32
|
|
d. 92
|
12.96
|