A Stock Has a Price of $50 and Pays No

Multiple Choice

A stock has a price of $50 and pays no dividend.The historical standard deviation of the stock is 25% and the expected return on the stock is 12%.At the 95% confidence level,what is the Tail VaR over the next 6 months?

A) $2.50
B) $13.63
C) $22.36
D) $47.50