4.6. What is the probability that a geometric Brownian motion with drift parameter a = 0 ever...
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4.6. What is the probability that a geometric Brownian motion with drift parameter a = 0 ever rises to more than twice its initial value? (You buy stock whose fluctuations are described by a geometric Brownian motion with a = 0. What are your chances to double your money?)
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Related Book For
An Introduction To Stochastic Modeling
ISBN: 9780126848878
3rd Edition
Authors: Samuel Karlin, Howard M. Taylor
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