The following numbers were randomly generated from a standard normal distribution: -0.25 0.3 1.5 -1.2 -1.65 1.5 Suppose a security follows a geometric Brownian motion with volatility parameter,...


The following numbers were randomly generated from a standard normal distribution:


-0.25    0.3     1.5     -1.2     -1.65     1.5


Suppose a security follows a geometric Brownian motion with volatility parameter, sigma=0.2, and interest rate r=0.01.  If the initial closing price is S0=s=50, compute six moresimulated
daily closing prices.   For the daily increment in time we are using 1/252 year.



Jun 02, 2022
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