Question
Let 0 < p < 1. Suppose that each day a stock gains 1/p dollars with probability p or loses 1/1-p dollars otherwise. Let S(n)
Let 0 < p < 1. Suppose that each day a stock gains 1/p dollars with probability p or loses 1/1-p dollars otherwise. Let S(n) be the value of the stock after n steps and suppose S(0) = 10.
a) What is the expected value of S(1)?
b) What is the expected value of S(n)?
c) What is the variance of S(1)?
d) What is the variance of S(n)?
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Derivative Products And Pricing The Das Swaps And Financial Derivatives Library
Authors: Satyajit Das
1st Edition
0470821647, 9780470821640
