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Stock price modeling   Message List  
Reply | Forward Message #1666 of 4095 |
Dear all,

Can any one please explain me why any stock price is modeled like this?

dS/S = mu*dt + sigma*dw[t], where w[t] is weiner/brownian process


Thanks and regards,
stat









Fri Aug 11, 2006 3:24 pm

stat700004
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Message #1666 of 4095 |
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Dear all, Can any one please explain me why any stock price is modeled like this? dS/S = mu*dt + sigma*dw[t], where w[t] is weiner/brownian process Thanks and...
stat700004
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Aug 12, 2006
5:31 am

Dear stat700004 u seem to be on a big question-raising & answer-seeking spree! I trust u r able to digest all of them at one go... The answer to your current...
surendra barsode
sbbarsode
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Aug 12, 2006
6:21 am

the left hand side in the brownaian motion refers how stock prices changes that is also called as rate of returns provided by the stock. the MU in the right...
vinod bachina
vinodbachina
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Aug 12, 2006
10:17 am

That's simple \mu = average rate of increase of the stock value \sigma = voltaility of the stock That's basic in deriving Black-Schole Option Pricing...
BING CHEUNG HUI
bchui2002
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Aug 14, 2006
4:05 am
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