Which of the following statements is incorrect about the historical volatility?
A)if used in the Black-Scholes-Merton model,it gives the current market price
B)it is based on the volatility of the log return on the stock
C)it requires a sample of recent returns
D)it should be converted to an annualized volatility
E)none of the above

Question

Quizplus · Accepted Answer

Historical volatility, when used in the Black-Scholes-Merton model, gives the theoretical option price, not the current market price. The current market price is determined by supply and demand in the market.

Which of the Following Statements Is Incorrect About the Historical