Practice Options
Verify the drift of the log price
Medium+25 pointsAbout 35 minutesOptions
Coming soon
Apply Itô's lemma to the log of a stock price and confirm the minus one-half sigma squared term by simulation.
This problem opens with Stochastic Calculus for Finance. It draws on the modules below.
- Stochastic Calculus 2.5 Itô's lemma (coming soon)