Question
When a stock price, S , follows geometric Brownian motion with mean return m and volatility s, what is the process follows by X where
When a stock price, S, follows geometric Brownian motion with mean return m and volatility s, what is the process follows by X where X = In S.
| A. | dX = m dt + s dz | |
| B. | dX = (m-r) dt + s dz | |
| C. | dX = (m-s2) dt + s dz | |
| D. | dX = (m-s2/2) dt + s dz |
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Gapenskis Understanding Healthcare Financial Management
Authors: George H. Pink, Paula H. Song
8th Edition
1640551093, 978-1640551091
