Black Scholes Calculation
This is a question from my introduction to finance class. I need to use Ito calculus but I don't know how to use it.
Answer
Answers can be viewed only if
- The questioner was satisfied and accepted the answer, or
- The answer was disputed, but the judge evaluated it as 100% correct.
1 Attachment
-
Should not it be that solution to SDE is : St=S0*e^(mü*t+sigma*Wt) instead of your solution. I mean I guess your solution is seems to bo correct but this is what my lecture notes tells me. Or I am not sure even both things mean the same thing or not, could you clarify this?
-
The solution is not quite like you say. A straight forward reference is Wikipedia: https://en.wikipedia.org/wiki/Geometric_Brownian_motion Also, the book Stochastic Differential Equations by Oksendal, page 62.
The answer is accepted.
Join Matchmaticians Affiliate Marketing
Program to earn up to 50% commission on every question your affiliated users ask or answer.
- answered
- 197 views
- $14.76
Related Questions
- Finding Probability Density Function of a Standard Brownian motion: Conditioning for two different cases
-
Mathematical finance question on Portfolio
and Investment Year Methods(question attached below) - Basic Stochastic Calculus Ito Process
- Disecting Constant Product formula
- Amortization Table
- card riffle shuffling
- Equality of two measures on a generated $\sigma$-algebra.
- Probability and Statistics Question help please