QUESTION

Text
Image


20. Consider the SDE \[ d S=0.15 S d t+0.2 S d B, \quad S(0)=\$ 100, \] that describes how the stock value $S$ changes with time. Use Monte Carlo simulations to compute the value of $S$ at $t=6$ months. Plot the Monte Carlo estimate of $S$ versus different numbers of trials.

Public Answer

1/2
0D20E6 The First Answerer