Bad Taste

Stock Price Simulators

| Nov 20, 2024
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    Bad Taste

    Stock Price Simulators

    Nov 20, 2024
    Julia Spina led a discussion on stock price simulations, focusing on using geometric Brownian motion, a concept linking stock prices to stochastic differential equations. The method incorporates both deterministic and stochastic components, providing a foundation for Monte Carlo simulations. These simulations are useful for estimating potential stock price outcomes over time, helping assess forward-looking risk metrics like CVaR and expected move. Julia emphasized understanding the methodology's limitations due to Black-Scholes model assumptions, such as constant volatility.

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