8.4.5 Suppose that the fluctuations in the price of a share of stock in a certain company...

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8.4.5 Suppose that the fluctuations in the price of a share of stock in a certain company are well described by a geometric Brownian motion with drift D ????0:1 and variance 2 D 4. A speculator buys a share of this stock at a price of $100 and will sell if ever the price rises to $110 (a profit) or drops to $95 (a loss). What is the probability that the speculator sells at a profit?

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An Introduction To Stochastic Modeling

ISBN: 9780233814162

4th Edition

Authors: Mark A. Pinsky, Samuel Karlin

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