A share has an expected return of 12% per annum (with continuous compounding) and a volatility of
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A share has an expected return of 12% per annum (with continuous compounding) and a volatility of 20% per annum. Changes in the share price satisfy dS = μS dt + σS dX. Simulate the movement of the share price, currently $100, over a year, using a time interval of one week.
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We must simulate a movement of dS 12 5200 ...View the full answer
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