Timeline for About SDE of Geometric Brownian Motion
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 13, 2018 at 21:28 | comment | added | eSurfsnake | I think he was just asking for the interpretation of the numbers, not the source or validity. | |
| May 10, 2018 at 5:55 | comment | added | user217285 | I'm not sure I completely buy this answer. OP is asking about simulating the asset price path, i.e. a \emph{forward looking} $\mu$ and $\sigma$. If your model says that the best predictor of future returns is the past 70 years of returns, then this answer is fine, but presumably one would have a more sophisticated model for projecting $\mu$ and $\sigma$ that relies more heavily on recent data, industry factors, etc. | |
| Apr 10, 2018 at 14:40 | comment | added | eSurfsnake | yes, that is the usual convention. | |
| Apr 10, 2018 at 9:57 | comment | added | Lopo | Thank you very much for your reply. Do the terms you mentioned refer to annualized average and std of the log return? | |
| Apr 10, 2018 at 4:34 | history | answered | eSurfsnake | CC BY-SA 3.0 |