Assume that the price of IBM stock follows Ito process dPt= Pt dt + Pt dwt, where

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Assume that the price of IBM stock follows Ito process dPt= μPt dt + σPt dwt, where μ and σ are constant and wt is a standard Brownian motion.

Consider the daily log returns of IBM stock in 1997. The average return and the sample standard deviation are 0.00131 and 0.02215, respectively. Use the data to estimate the parameters μ and σ

assuming that there were 252 trading days in 1997.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Assume that the price of IBM stock follows Ito process dPt= Pt dt + Pt dwt, where

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Analysis Of Financial Time Series

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