Answered step by step
Verified Expert Solution
Question
1 Approved Answer
When a stock price, S , follows geometric Brownian motion with mean return m and volatility s what is the process followed by X where
- When a stock price, S, follows geometric Brownian motion with mean returnm and volatilitys what is the process followed by Xwhere X = ln S.
- dX =m dt +s dz
- dX = (mr) dt +s dz
- dX = (ms2) dt +s dz
- dX = (ms2/2) dt +s dz
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started