Question
Consider a stock that follows Geometric Brownian Motion dS(t) = uS(t)dt + S(t)dB(t). u=0.1, =0.2, stock price and strike price are 100, and there are
Consider a stock that follows Geometric Brownian Motion
dS(t) = uS(t)dt + S(t)dB(t).
u=0.1, =0.2, stock price and strike price are 100, and there are no dividends. What is the value of a European call option after 1 year?
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Fatal Numbers Why Count On Chance
Authors: Hans Magnus Enzensberger ,Karen Leeder
1st Edition
1935830015, 978-1935830016
