Brownian Motion Process for Stock Returns

1. Inputs are ?, S0 and ?. Inputs ? and ? are annualized 2. Time interval is
t =1/252 3. Create 10000 21 day paths. 4. For the 21 day return, find themean, stdev, and kurt (these should be close to the inputs, with kurt = 3 for BrownianMotion). STOCHASTIC PROCESSES • 99 5. For the 21 day return, find the 99% and 99.9% Var and Cvar (i.e. pick a frozen example)