Starting from S 0 = 100, run 10,000 trials of a GRW with the following parameter sets

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Starting from S₀ = 100, run 10,000 trials of a GRW with the following parameter sets (take Δt = 1/365 in every case). What fraction of outcomes are greater than S₀? less than S₀? equal to S₀?

(a) μ = 0, σ = 1, nDays = 30

(b) μ = 0, σ = 1, nDays = 180

(d) μ = 0, σ = 0.2, nDays = 180

(e) μ = 0.1, σ = 0.2, nDays = 30

(f) μ = 0.1, σ = 0.2, nDays = 180

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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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Starting from S 0 = 100, run 10,000 trials of a GRW with the following parameter sets

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