Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t. If So =...

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Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with<br>µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t.<br>If So = 100, and the first simulated (randomly selected) standard normal variable is e = -0.591,<br>what is the simulated return over the next week?<br>(a) -0.061<br>(b) -0.015<br>(c) 0.061<br>(d) -0.093<br>

Extracted text: Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t. If So = 100, and the first simulated (randomly selected) standard normal variable is e = -0.591, what is the simulated return over the next week? (a) -0.061 (b) -0.015 (c) 0.061 (d) -0.093

Jun 11, 2022

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Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t. If So =...

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