问题:
假设某无股息股票的价格服从几何布朗运动,其波动率为每年20%,连续复利收益率期望值为10%,则股票价格过程为()
A
dS=0.1dt+0.2dz
B
dS=0.2dt+0.1dz
C
dS=0.1Sdt+0.2Sdz
D
dS=0.2Sdt+0.1Sdz
假设某无股息股票的价格服从几何布朗运动,其波动率为每年20%,连续复利收益率期望值为10%,则股票价格过程为()
A
dS=0.1dt+0.2dz
B
dS=0.2dt+0.1dz
C
dS=0.1Sdt+0.2Sdz
D
dS=0.2Sdt+0.1Sdz
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