Zu dieser Karteikarte gibt es einen kompletten Satz an Karteikarten. Kostenlos!
233
13.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 = ln 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
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
Answer: D
This is the example in Section 14.7
This is the example in Section 14.7
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015