HW1 stock prices

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Models of Financial Mathematics, MTMM.00.203 
 
Homework: Modelling of Stock price 
 
Choose an underlying stock (see Links). Calculate all parameters on the base of historical data 
and plot 10 possible scenario for price development of this stock. Black – Scholes model: 
dtSdXSdS   , 
where S = S(t) is the stock price at time t; µ is the average growth rate of the stock price; the 
parameter σ characterizing the random variability of the stock price is called the volatility; X 
is the standard Brownian motion. Take standard deviation of historical change of stock price 
for estimation of volatility parameter.