Historical data suggest the standard deviation of an all-equity strategy is about 4.9% per month. Suppose the risk-free rate is now 1% per month and market volatility is at its historical level. What would be a maximum monthly fee to a perfect market timer, according to the Black-Scholes formula? (Round your answer to 2 decimal places.) Maximum monthly fee %
Get Answers For Free
Most questions answered within 1 hours.