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What is the dimension of Δt? Is it second [s]? What are the expected return and the expected volatility? How can I calculate them for any given stock? Should I use the return and volatility values for the moment in which I need to simulate the price? Is ε a random variable | ε ∈ [0,1) with an expected value of 1/2?

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  • S(0): The stock price today.
  • S(Δt): The stock price at a (small) time into the future.
  • Δt: A small increment of time.
  • μ: The expected return.
  • σ: The expected volatility.
  • ε: A (random) number sampled from a standard normal distribution.
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closed as off-topic by Bob Jansen Aug 20 at 12:33

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Sorry, it's too basic to be on-topic here. –  Bob Jansen Aug 20 at 12:33

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