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Thread Subject:
Lognormal distribution of stock price using volatility.

Subject: Lognormal distribution of stock price using volatility.

From: BobC Cadenza

Date: 20 Aug, 2010 19:20:21

Message: 1 of 1

I want to calculate potential prices of an stock, given its current price and volatility. Does this look correct?

   mean = current_price;
    sigma = volatility^2; %Convert to variance.
    
    mu = log((mean^2)/sqrt(sigma+mean^2));
    sigma = sqrt(log(sigma/(mean^2)+1));

    X = lognrnd(mu,sigma,1,1e7);

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