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
(c) μ = 0, σ = 0.2, nDays = 30
(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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