Tag Info

New answers tagged

2

For the last question. We assume that \begin{align*} S_t = S_0 e^{(r-q-\frac{1}{2}\sigma^2)t + \sigma W_t}, \end{align*} where $W$ is a standard Brownian motion, $r$ is the interest rate, $q$ is the dividend yield, and $\sigma$ is the volatility. Then, \begin{align*} X_{u+a}-X_a &= (r-q-\frac{1}{2}\sigma^2)a + \sigma(W_{u+a}-W_u)\\ &\sim ...



Top 50 recent answers are included