A stock has a current price of 100, an expected return = 0.30 and a...
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A stock has a current price of €100, an expected return µ = 0.30 and a standard deviation of o=0.38. Use Monte Carlo simulation to: 1. simulate, on a quarterly basis, the stock price over a period of 5 years. 2. simulate the 5-year price of the stock without any intermediate periods. What is the mean price of the stock in 5 years in the two cases above? Show and comment your results adding other summary statistics such as the standard deviation, etc. A stock has a current price of €100, an expected return µ = 0.30 and a standard deviation of o=0.38. Use Monte Carlo simulation to: 1. simulate, on a quarterly basis, the stock price over a period of 5 years. 2. simulate the 5-year price of the stock without any intermediate periods. What is the mean price of the stock in 5 years in the two cases above? Show and comment your results adding other summary statistics such as the standard deviation, etc.
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Monte Carlo Simulation of Stock Price 1 Simulating Quarterly Prices Well use a geometric Brownian motion model with quarterly time steps 4 steps per y... View the full answer
Related Book For
Statistics Data Analysis And Decision Modeling
ISBN: 9780132744287
5th Edition
Authors: James R. Evans
Posted Date:
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