hull-rmfi-10-19

Posted by @akrushn2 in another thread Can someone please confirm q19 and whether the answer is correct? I get 1.614% as the answer on my end. the calculations are sqrt( 0.0001 + 0.04*(298/300 -1)^2 + 0.94*0.013^2) = 1.614%. Question 10.19 Suppose that the price of an asset at close of trading...