A stock's volatility under EWMA is estimated at 3.

The correct answer is choice 'a'

Recall the formula for calculating variance under EWMA. See below. Therefore the correct answer is =SQRT((1 - 0.93)*(LN(11/10))^2 + 0.93*((3.5%^2))) = 4.21%. Other answers are incorrect. Note that continuous returns are to be used, ie ln(11/10) and not discrete returns (=1/10) - though generally the difference between the two is small over short time periods. (If in the exam the answer doesn't exactly match, try using discrete returns.)