Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t. If So = 100, and the first simulated (randomly selected) standard normal variable is e = -0.591, %3D what is the simulated return over the next week?

From the given information, μ=0.1σ=0.2∆t=152S0=100ε=-0.591

Answered: Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the…

MATLAB: An Introduction with Applications

6th Edition

ISBN: 9781119256830

Author: Amos Gilat

Publisher: John Wiley & Sons Inc

See similar textbooks

Related questions

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: 3.Given:The word PROBABILITY has:11 letters5 vowels: O, A, I, I, Y (consider Y as vowel),6…

Q: Hello, can you explain the first section of the question. Thank yu

A: Function f(x,y) take maximum and minimum value at its critical points

Q: I need help checking my answers on some study problems. Thanks for your help.

A: We have been given two rational functions and we need to find some composite functions and their…

Q: Please write the answer on a sheet of paper, the typing doesn't work for me, I can't see anything,…

Q: Given the following right triangle find cos0, sine tane, sece csce, and cott, Do not approximate:…

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

Q: Please look at the pic and Please can you explain why the statements are true and how I can identify…

Q: t the success due to the news paper publi

A: Among 6 events if 2 resulted in a blockbuster 2 events are successful 4 events are unsuccessful Let…

Q: Hello, I'd like to know how you did the first step. I don't understand how you got there. Thanks

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: Since we're using normal approximation to binomial distribution, we need to compute first the…

Q: an you please write this on paper as i requested in the question? It helps me undertand better thank

A: This is the question from LinearTransformation.

Q: Can you please provide me with the working out/ detailed solution please

A: are statistically independent random variable with moment generating function We have to find the…

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: To represent the probability distribution for all possible sums of two four-sided dice (each with…

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: a. Selection BiasThe type of bias that may result from this data collection method is selection…

Q: 21) In a triangle, the measure of the middle angle is triple the measure of the smallest angle, and…

A: As per our guidelines we are supposed to answer only one question. Kindly repost other question as…

Q: Can you please finish question 5,6,7and 8 I would like to compare with my results please explain…

A: Disclaimer: Since you have asked multiple questions, we will solve the first question for you. If…

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: Let X denote the weight of the jelly beans. We are looking for…

Q: Please look at the Pic and please help me understand how you would know/find the answer. Many…

Q: Please

Q: Another question that's really throwing me off please help.

Q: 9. For n = 1,..,n, let X, be independent r.v.'s such that %3D P(X,=1)= p,, P(X,=0)=1- p,- Under what…

A: Hello! As you have posted the different questions, we are answering the first question (9). In case…

Q: I am not quite sure what you did in this question even though the answer is right. Is it possible to…

Q: please help me, I have asked that question a lot of times, and anyone is able to do it please help

A: (a) Determine whether the binomial setting can be applied or not. The given experiment is…

Q: can you please answser part iv to this question

A: Statement (iv): Consider the statement A: For every point P and every point Q, not equal to P there…

Q: Please answer fully and on paper I keep getting the wrong answer when submitting questions so please…

A: a)Histogram: b)The histogram shows us that the shape of distribution is right skewed because most…

Topic Video

Question

Dear Tutor please help me out in this question, your efforts will be appreciated

Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with
µ = 0.1, o = 0.2, and time step At = 1/52 (weekly). Let St be the price of the stock at time t.
If So = 100, and the first simulated (randomly selected) standard normal variable is e = -0.591,
what is the simulated return over the next week?
(a) -0.061
(b) -0.015
(c) 0.061
(d) -0.093

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

This is a popular solution

See solution Check out a sample Q&A here

Step 1

VIEW

Step 2

VIEW

Similar questions

Recommended textbooks for you

MATLAB: An Introduction with Applications
Statistics
ISBN:9781119256830
Author:Amos Gilat
Publisher:John Wiley & Sons Inc
Probability and Statistics for Engineering and th...
Statistics
ISBN:9781305251809
Author:Jay L. Devore
Publisher:Cengage Learning
Statistics for The Behavioral Sciences (MindTap C...
Statistics
ISBN:9781305504912
Author:Frederick J Gravetter, Larry B. Wallnau
Publisher:Cengage Learning
Elementary Statistics: Picturing the World (7th E...
Statistics
ISBN:9780134683416
Author:Ron Larson, Betsy Farber
Publisher:PEARSON
The Basic Practice of Statistics
Statistics
ISBN:9781319042578
Author:David S. Moore, William I. Notz, Michael A. Fligner
Publisher:W. H. Freeman
Introduction to the Practice of Statistics
Statistics
ISBN:9781319013387
Author:David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:W. H. Freeman