題目 題型：單選題 難度：★★★ 
8.2萬熱度
【重點】ANANALYSTHASINTERESTINTWOASSETSANDBATTH
【重點】An analyst has interest in two assets, A and B。 At the close of business yesterday, these assets had daily volatilities of 1.3% and 2.0% respectively. In addition, the assets werePriced at$40 for A and $80 for B as at the close of business yesterday, and the estimated correlation coefficient between the two assets stood at 0.25. The EWMA model used by the analyst had λ = 0.95.Assuming that the prices of the assets today are $40.5 and $80.5, update the correlation coefficient.
A、 0.00625
B、 0.01954
C、 6.56E-05
D、 0.2589
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