fm3_problems18

fm3_problems18 - SIMULATING A LOGNORMAL PRICE PROCESS...

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Unformatted text preview: SIMULATING A LOGNORMAL PRICE PROCESS Initial stock price 12 Mean return, m 12% Return sigma, s 35% Delta t 8% ### Month 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 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 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 SIMULATING A LOGNORMAL PRICE PROCESS Initial stock price 12 Mean return, m 12% Return sigma, s 35% Delta t 0% ### Day 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 25 50 75 1 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 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 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...
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fm3_problems18 - SIMULATING A LOGNORMAL PRICE PROCESS...

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