Run 10,000 trials of a GRW with the following parameters: t = 1/365, T = 60 days,

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Run 10,000 trials of a GRW with the following parameters: Δt = 1/365, T = 60 days, σ = 40 %, μ = 3 %. What fraction of outcomes:

(a) End between 105 and 115?

(b) End between 95 and 100?

(d) Rise above 105 at some point but finish below 100?

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Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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Question Posted: Oct 03, 2023 06:25 AM

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Run 10,000 trials of a GRW with the following parameters: t = 1/365, T = 60 days,

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To calculate the fractions of outcomes for the given scenarios in a Geometric Random Walk GRW with t...View the full answer

Finance With Monte Carlo

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