Unformatted text preview: ( S t | S ) = σ 2 t , where μ is the drift and σ is the volatility. Geometric RW: If r 1 , r 2 ,... are iid N ( μ,σ 2 ), P t = P exp[ r t + t t-1 + ··· + r 1 ] is an exponential/geometric RW....
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.
- Summer '10