Tagged Questions
4
votes
1answer
1k views
How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
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3
votes
1answer
198 views
How to calculate probability of touching a take-profit without touching a stop-loss?
How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
12
votes
5answers
2k views
Is the stock price process a martingale or a Markov process?
Some people claim that the data-generating process for stocks is a "martingale" and that is has the "Markov property".
Are they unrelated? Is it that the Markov property implies some sort of ...
