Brownian Motion Process for Stock Returns

  • Status Closed
  • 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)

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