Closed

Brownian Motion Process for Stock Returns

This project was awarded to bfgreyling for $30 USD.

Get free quotes for a project like this
Employer working
Awarded to:
Skills Required
Project Budget
$30 - $250 USD
Total Bids
4
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)

Looking to make some money?

  • Set your budget and the timeframe
  • Outline your proposal
  • Get paid for your work

Hire Freelancers who also bid on this project

    • Forbes
    • The New York Times
    • Time
    • Wall Street Journal
    • Times Online