Question
Consider a stock whose price at timet is given byStand that follows a geometric Brownian motion (GBM). The expected return is 18% per year and
Consider a stock whose price at timet is given byStand that follows a geometric Brownian motion (GBM). The expected return is 18% per year and the volatility is 50% per year. The current spot price is $5. Compute the expected value of11St in 4 months from now. Express your answers with two decimals.
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
