The price of a stock is modeled with a geometric Brownian motion with drift μ=-0.25 and volatility σ=0.4. The stock currently sells for $35. Assume that an option is available to purchase the stock in six months for $40. Find the expected payoff of the option.
The price of a stock is modeled with a geometric Brownian motion with drift μ=-0.25 and volatility σ=0.4. The stock currently sells for $35. Assume that an option is available to purchase the stock in six months for $40. Find the expected payoff of the option.
Chapter6: Exponential And Logarithmic Functions
Section6.8: Fitting Exponential Models To Data
Problem 3TI: Table 6 shows the population, in thousands, of harbor seals in the Wadden Sea over the years 1997 to...
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The price of a stock is modeled with a geometric Brownian motion with drift μ=-0.25 and volatility σ=0.4. The stock currently sells for $35.
Assume that an option is available to purchase the stock in six months for $40. Find the expected payoff of the option.
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