Brownian Motion Process for Stock Returns

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Bids
4
Avg Bid (USD)
$105
Project Budget (USD)
$30 - $250

Project Description:
1. Inputs are ?, S0 and ?. Inputs ? and ? are annualized
2. Time interval is t =1/252
3. Create 10000 21 day paths.
4. For the 21 day return, find themean, stdev, and kurt (these should be close to the
inputs, with kurt = 3 for BrownianMotion).
STOCHASTIC PROCESSES • 99
5. For the 21 day return, find the 99% and 99.9% Var and Cvar (i.e. pick a frozen
example)

Skills required:
Excel, Finance
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