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Problem 1. A stock price index follows the lognormal stock price model ln{St/Sn) ~ Nitl oat) You are given the following observations on the stock
Problem 1. A stock price index follows the lognormal stock price model ln{St/Sn) ~ Nitl oat) You are given the following observations on the stock index price. Observations times are in fractions of a year. Observation Observation Time Stock Index Price Observed 1 0 900 2 1/24 967 3 2/24 938 4 3/24 1010 5 4/24 1030 6 5/24 972 7 6/24 908 8 7/24 1020 9 8/24 995 10 9/24 1060 1 1 10/24 1159 12 1 1/24 1232 Estimate u and (I using this data. ACtiVE Go To 9
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