Let S t , 0 t T be a Geometric Brownian Motion (GBM) random variable with drift and volatility parameter Suppose S 0 1 and 2 2 What is the mean of log S T What is the mean of S T itself Is this sensible ...

Given that St follows a Geometric Brownian Motion GBM with drift and volatility parameter and S0 1 w ...

Let S t , 0 t T be a Geometric Brownian Motion (GBM) random variable

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Let S_t, 0 ≤ t ≤ T be a Geometric Brownian Motion (GBM) random variable with drift μ and volatility parameter σ. Suppose S₀ = 1 and σ²/2 = μ. What is the mean of log S_T ? What is the mean of S_T itself? Is this sensible?

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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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Let S t , 0 t T be a Geometric Brownian Motion (GBM) random variable

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Finance With Monte Carlo

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