Behavior and Performance of Share Prices - Mu and Sigma, Geometric Brownian Motion, Computing Mu and Sigma, Simulation of Expected Closing Prices, References

THE BEHAVIOR AND PERFORMANCE
OF SHARE PRICES
Assessment Task 2

The meaning of Mu and
Sigma
 In the equation, Mu is called the drift at
time t, and Sigma the diffusion
(volatility) at time t for a given stock.
No they are not constant since their
respective values are dependent on
time i.e. t=0, 1, 2.
 This means that the values of drift and
volatility change with variation in time.
If they were constant they would be
represented in the form and .

Closing stock prices for
British Petroleum P.L.C.
8/1/2018
8/5/2018
8/9/2018
8/13/2018
8/17/2018
8/21/2018
8/25/2018
8/29/2018
9/2/2018
9/6/2018
9/10/2018
9/14/2018
9/18/2018
9/22/2018
9/26/2018
9/30/2018
10/4/2018
10/8/2018
10/12/2018
10/16/2018
10/20/2018
10/24/2018
10/28/2018
36
38
40
42
44
46
48
Closing Prices for BP (3M)
Close
Prices ($)