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Assume stock price follows the geometric Brownian motion SdS=dt+dZ The form above has a discrete-time version SS=t+t where the random variable has a standard normal
Assume stock price follows the geometric Brownian motion SdS=dt+dZ The form above has a discrete-time version SS=t+t where the random variable has a standard normal distribution. Assume the stock price to start at day 0 is 100,=20%,=30%, and there are 250 trading days in a year. In addition, assume the sample of for the coming 11 days is (0.52,1.22,0.13,2.81, 0.16,1.32,2.11,0.50,0.61,1.24,1.98), starting from day 1 and ending at day 11 . (a) Calculate stock price at the end of each day, for the coming 11 days. (b) Calculatestockpriceattheendofeachday,forthecoming11days. stock price at day 0 (x-axis: day, y-axis: stock price). Label and title the graph properly
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