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fm3_problems18 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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SIMULATING A LOGNORMAL PRICE PROCESS Initial stock price 12 Mean return, m 12% Return sigma, s 35% Delta t 8% ### Month 0 12 1 -0.3841 11.6592 #MACRO? 2 -0.7761 10.8882 3 -0.0733 10.9164 4 -1.2515 9.7165 5 -0.3787 9.4458 6 0.1485 9.6849 7 0.5508 10.3421 8 0.4161 10.8945 9 -0.0219 10.9797 10 0.6522 11.8455 11 0.6628 12.7931 12 -1.2189 11.4244 #MACRO? Random number Stock price 0 1 2 3 4 5 6 7 8 9 10 8 9 10 11 12 13 14 15 16 17 A B C D 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
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0 11 12 E F 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
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SIMULATING A LOGNORMAL PRICE PROCESS Initial stock price 12 Mean return, m 12% Return sigma, s 35% Delta t 0% ### Day 0 12 1 3.2545 12.9026 #MACRO? 2 -0.9907 12.6288 3 -1.1042 12.3298 4 -0.5853 12.1769 5 0.6541 12.3604 6 0.7479 12.5728 7 1.3422 12.9581 8 -0.2407 12.8955 9 0.3367 12.9982 10 -0.5082 12.8590 11 1.3160 13.2454 12 -1.0048 12.9603 13 -0.3920 12.8545 14 1.5858 13.3201 15 -1.1525 12.9908 16 3.3257 13.9900 17 -0.2463 13.9206 18 1.2109 14.3056 19 0.7567 14.5543 20 0.3096 14.6614 21 -0.7144 14.4382 22 -0.6866 14.2273 23 0.6036 14.4256 24 0.2274 14.5053 25 0.8602 14.7913 26 -0.1610 14.7457 27 -0.6705 14.5355 28 -0.5347 14.3713 29 -0.9194 14.0886 30 2.8089 14.9996 31 -0.2330 14.9296 32 -0.4129 14.8008 33 2.7419 15.7346 34 0.1071 15.7795 35 0.3029 15.8933 36 0.6446 16.1294 37 -0.4807 15.9664 38 0.0734 16.0000 39 -1.0567 15.6376 40 1.6184 16.2157 41 0.9738 16.5770 42 -1.6331 15.9962 43 -1.2551 15.5653 Random number Stock price 0 25 50 75 1 0 2 4 6 8 10 12 14 16 A B C D 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51
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44 -0.9061 15.2635 45 2.5643 16.1628 46 -0.7412 15.9074 47 -0.9078 15.5984 48 -0.2597 15.5164 49 -1.1936 15.1191 50 1.7211 15.7137 51 -2.0729 15.0162 52 -0.3751 14.8992 53 -0.8290 14.6353 54 0.6620 14.8585 55 1.5869 15.3971 56 -2.3775 14.6148 57 -0.9075 14.3310 58 -0.8597 14.0676 59 -0.5096 13.9165 60 -0.3558 13.8140 61 -0.8687 13.5574 62 0.5623 13.7338 63 0.5269 13.9015 64 -0.8799 13.6399 65 -0.6567 13.4495 66 -0.4680 13.3173 67 1.4748 13.7658 68 0.1791 13.8271 69 1.0327 14.1537 70 -1.4382 13.7168 71 0.0458 13.7373 72 0.4791 13.8904 73 -1.1435 13.5497 74 0.3133 13.6506 75 1.1099 13.9968 76 -1.1688 13.6459 77 1.0462 13.9723 78 -1.6599 13.4747 79 0.0471 13.4952 80 1.8604 14.0693 81 -2.5209 13.3121 82 0.0951 13.3466 83 -0.4610 13.2174 84 -0.8085 12.9892 85 -0.5713 12.8321 86 -0.6246 12.6620 87 -0.7786 12.4516 88 -0.0854 12.4341 89 -0.0976 12.4132 90 0.0584 12.4352 91 0.9424 12.7034 92 0.3951 12.8212 93 -0.7182 12.6250 94 0.0699 12.6506 95 1.0071 12.9420 A B C D 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103
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96 -0.0201 12.9425 97 1.0268 13.2464 98 0.7485 13.4742 99 -1.5296 13.0319 100 0.5155 13.1877 101 1.0283 13.4978 102 0.2053 13.5658 103 -0.3030 13.4816 104 1.9518 14.0836 105 -0.8263 13.8350 106 -0.6826 13.6340 107 -1.3061 13.2519 108 -1.5841 12.8014 109 -0.5363 12.6564 110 0.2912 12.7444 111 -1.9570 12.2099 112 -0.5194 12.0762 113 -1.0260 11.8106 114 -0.3919 11.7142 115 0.0279 11.7271 116 -0.1602 11.6912 117 0.2889 11.7719 118 0.6105 11.9378 119 1.2950 12.2908 120 -1.4411 11.9106 121 -0.6666 11.7418 122 0.6108 11.9074 123 0.6080 12.0745 124 -0.0280 12.0728 125 -0.6520 11.9055 126 0.1801 11.9588 127 2.0712 12.5259 128 -1.2539 12.1888 129 -0.4006 12.0870 130 -1.7072 11.6444 131 0.8482 11.8708 132 -0.8688 11.6502 133 0.3192 11.7385 134 -0.9049 11.5112 135 -0.9661 11.2731 136 0.9523 11.5188 137 -0.1759 11.4795 138 -0.6348 11.3247 139 1.2062 11.6368 140 0.6010 11.7983 141 1.1617 12.1114 142 1.3488 12.4845 143 -1.9141 11.9723 144 -1.8843 11.4887 145 -0.6469 11.3308 146 0.0978 11.3608 147 -0.0851 11.3449 A B C D 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122
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  • Spring '09
  • EDWARDCHANG
  • Prime number, Nontotient, initial stock price, 11.5339 11.8367 11.6362 11.5600 11.6311 11.2981 11.1633, LOGNORMAL PRICE PROCESS

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