k****i
发帖数: 347 | 1 Suppose stock price is $90. The stock price follows a geometric brownian
motion dS=S*mu*dt+S*sigma*dW. What is the expected time (tau) that the stock
hits $120?
Please show details. Thanks! |
t***r
发帖数: 119 | 2 This is Ex. 3.7 from Steven Shreve's book.
stock
【在 k****i 的大作中提到】
: Suppose stock price is $90. The stock price follows a geometric brownian
: motion dS=S*mu*dt+S*sigma*dW. What is the expected time (tau) that the stock
: hits $120?
: Please show details. Thanks!
|
m*******n
发帖数: 305 | 3 My two cents:
S follows geometric Brownian Motion, then Y=Ln(S) follows a Brownian motion
with drift. You can use standard method to get expected time for Y to reach
ln(120), which is the same for S to reach 120. |
k****i
发帖数: 347 | |
