Multiple choice question:

A risk manager would like to simulate the price of a stock using the discretized GBN'I, where with and a denote, respectively, the stock annual mean return and annual volatility. The data suggest that the weekly mean return on the stock is 0.25% and the weekly volatility is 3%. Assuming a weekly time step of At 1/52 (in terms of annual units), what is the appropriate estimate of p? (b) 13% (a) (c) (d) p = 14.7% 15.34% 0.25%