Difference between the opening bell and closing bell prices

Reference no: EM131083570

Over the course of a day, the stock price of a widely traded company can be modeled as a Brownian motion process where X(0) is the opening price at the morning bell. Suppose the unit of time t is an hour, the exchange is open for eight hours, and the standard deviation of the daily price change (the difference between the opening bell and closing bell prices) is 1/2 point. What is the value of the Brownian motion parameter α?

Reference no: EM131083570

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