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NO.PZ2016062402000029

问题如下：

Consider that a stock price S that follows a geometric Brownian motion $dS=aSdt+bSdz$ , with b strictly positive. Which of the following statements is false?

选项：

If the drift a is positive, the price one year from now will be above today’s price.

The instantaneous rate of return on the stock follows a normal distribution.

The stock price S follows a lognormal distribution.

This model does not impose mean reversion.

解释：

All the statements are correct except A, which is too strong. The expected price is higher than today’s price but certainly not the price in all states of the world.

b选项和c选项为啥一个是log正太分布一个是正太分布

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pzqa27 · 2022年11月19日

嗨，努力学习的PZer你好：

B说的是return，C说的是股价，return服从正态分布，股价服从对数正态分布

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NO.PZ2016062402000029问题如下Consir tha stopriS thfollows a geometric Brownimotion =aS+bS=aS+bS=aS+bS, with b strictly positive. Whiof the following statements is false?If the ift a is positive, the prione yefrom now will above toy’s price. The instantaneous rate of return on the stofollows a normstribution. The stopriS follows a lognormstribution. This mol es not impose mereversion. All the statements are correexcept whiis too strong. The expectepriis higher thtoy’s pribut certainly not the priin all states of the worl请问是哪个章节内容？经典题有吗

2022-07-28 18:25 1 · 回答

A~N(0, )，即服从以0位均值，为方差的正态分布。所以当取负数、b取正数时，bS就取负数，所以就可能小于0。请问，是否就是lta t？一般如何确定？

2019-09-20 22:57 1 · 回答

看了一遍其他提问，还是不知道A为什么错误？？？求一步步解析！

2019-09-08 18:08 1 · 回答

从哪里可以看mereversion？不太理解。b大于0，ε符号不能确定，所以不能说明是否存在均值复归性。

2019-08-22 12:36 1 · 回答

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