Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

If the volatility of a stock is .33 (i.e., the stock follows geometric Brownian motion with = .33 where we take a unit of time

If the volatility of a stock is .33 (i.e., the stock follows geometric Brownian motion with = .33 where we take a unit of time to be 1 year), find the standard deviation of ln(Sd(n)/Sd(n1)) and ln(Sm(n)/Sm(n1)), where Sd(n) is the price of the stock after n days and Sm(n) is the price of the stock after n months.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Technical Analysis Of Stock Trends

Authors: Robert D. Edwards, John Magee

5th Edition

0910944008, 978-0910944007

More Books

Students also viewed these Finance questions