Explain what do you understand by a geometric Brownian motion process. Suppose that the price of a Nedbank share follows a geometric Brownian motion described by N(y), y ≥0 with drift parameter μ = 0.05 and volatility parameter o = 0.39. If N(0) = 75, find E[N(6)].

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
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Chapter5: Inverse, Exponential, And Logarithmic Functions
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Explain what do you understand by a geometric Brownian motion process. Suppose that the price of a
Nedbank share follows a geometric Brownian motion described by N(y), y ≥ 0 with drift parameter µ = 0.05
and volatility parameter o = 0.39. If N(0) = 75, find E[N(6)].
Transcribed Image Text:Explain what do you understand by a geometric Brownian motion process. Suppose that the price of a Nedbank share follows a geometric Brownian motion described by N(y), y ≥ 0 with drift parameter µ = 0.05 and volatility parameter o = 0.39. If N(0) = 75, find E[N(6)].
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