Wiener Process

Source: Hull, John C., Options, Futures & Other Derivatives. Fourth edition (2000). Prentice-Hall. P. 220

Wiener Process

Property 1
where ε is a random drawing from a standardized normal distribution, Φ (0,1)

Δz=ε  Δt

Property 2
The values of ∆ z for any two different short intervals of time ∆ t are independent.

Generalized Wiener Process

Δx=aΔtbε  Δt

The values of ∆ x has a normal distribution with
- mean of a∆ T, - variance of b2∆ T
Drift rate is a: average drift per unit of time
Variance rate is b2: variance per unit of time

Numerical example (press F9 to generate new random numbers)
Time (T)
1 year
Drift rate (a)
4 per year
Variance rate (b)
2 per year
∆T
0.0033

Wiener Process
7.00
6.00
5.00
4.00
3.00
2.00

Column N

1.00
0.00
-1.00
-2.00
0 1 2
Time

Column P

Column Q

Row 6

Column O

Column R

Column S

ntice-Hall. P. 220
Random Numbers
Period

normal distribution, Φ (0,1)

s of time ∆ t are independent.

mn O

Column R

Column S

Time
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47

Uniform
0
0
0.01
0.01
0.01
0.02
0.02
0.02
0.03
0.03
0.03
0.04
0.04
0.04
0.05
0.05
0.05
0.06
0.06
0.06
0.07
0.07
0.07
0.08
0.08
0.08
0.09
0.09
0.09
0.1
0.1
0.1
0.11
0.11
0.11
0.12
0.12
0.12
0.13
0.13
0.13
0.14
0.14
0.14
0.15
0.15
0.15
0.16

0.46
0.07
0.83
0.39
0.31
0.62
0.27
0.78
0.53
0.58
0.94
0.81
0.41
0.95
0.91
0.18
0.81
0.84
0.88
0.15
0.85
0.23
0.75
0.58
0.64
0.43
0.43
0.47
0.62
0.94
0.74
0.08
0.01
0.56
0.47
0.32
0.18
0.74
0.1
0.7
0.32
0.04
0.51
0.73
0.99
0.42
0.91

Normal
0.04
1.74
-2.02
1.51
0.39
-1.9
-1.38
0.75
-2.5
0.09
-0.85
-0.52
-0.56
0.21
1.57
0.33
-0.24
-0.95
-0.89
-0.4
-0.94
0.44
0.34
0.25
1.01
-1.06
-1.37
-0.66
2.02
-0.99
0.56
-0.02
-1.18
0.63
-0.18
0.75
0.72
0.03
0.11
0.74
-1.65
0.65
-1.48
-0.42
-0.46
-2.26
1.84

Z + ∆Z
0
0
0.1
-0.01
0.07
0.1
-0.01
-0.09
-0.05
-0.19
-0.19
-0.24
-0.27
-0.3
-0.29
-0.2
-0.18
-0.19
-0.25
-0.3
-0.32
-0.38
-0.35
-0.33
-0.32
-0.26
-0.32
-0.4
-0.44
-0.32
-0.38
-0.35
-0.35
-0.41
-0.38
-0.39
-0.35
-0.3
-0.3
-0.3
-0.25
-0.35
-0.31
-0.4
-0.42
-0.45
-0.58
-0.47

X + ∆X
0
0.02
0.23
0.01
0.2
0.26
0.05
-0.09
0.01
-0.27
-0.24
-0.33
-0.38
-0.43
-0.39
-0.19
-0.14
-0.16
-0.25
-0.34
-0.38
-0.47
-0.41
-0.35
-0.31
-0.18
-0.29
-0.44
-0.5
-0.25
-0.36
-0.28
-0.27
-0.39
-0.3
-0.31
-0.21
-0.11
-0.1
-0.07
0.03
-0.15
-0.06
-0.22
-0.25
-0.29
-0.54
-0.32

T0.5
(Stdev Z)
0
0.06
0.08
0.1
0.12
0.13
0.14
0.15
0.16
0.17
0.18
0.19
0.2
0.21
0.22
0.22
0.23
0.24
0.24
0.25
0.26
0.26
0.27
0.28
0.28
0.29
0.29
0.3
0.31
0.31
0.32
0.32
0.33
0.33
0.34
0.34
0.35
0.35
0.36
0.36
0.37
0.37
0.37
0.38
0.38
0.39
0.39
0.4

48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101

0.16
0.16
0.17
0.17
0.17
0.18
0.18
0.18
0.19
0.19
0.19
0.2
0.2
0.2
0.21
0.21
0.21
0.22
0.22
0.22
0.23
0.23
0.23
0.24
0.24
0.24
0.25
0.25
0.25
0.26
0.26
0.26
0.27
0.27
0.27
0.28
0.28
0.28
0.29
0.29
0.29
0.3
0.3
0.3
0.31
0.31
0.31
0.32
0.32
0.32
0.33
0.33
0.33
0.34

0.81
0.26
0.79
0.96
0.1
0.02
0.71
0.68
0.65
0.14
0.11
0.12
0.76
0.06
0.86
0.84
0.07
0.42
0.31
0.39
0.6
0.05
0.49
0.3
0.37
0.53
0.81
0.1
0.52
0.23
0.01
0.33
0.49
0.8
0.29
0.59
0.82
1
0.27
0.47
0.13
0.38
0.59
0.89
0.44
0.45
0.73
0.5
0.87
0.05
0.89
0.46
0.1
0.38

0.61
-0.91
-1.03
-1.45
-0.37
0.93
0.55
1.7
0.43
1.04
-1.75
1.42
0.95
-0.84
0.34
-0.46
-0.47
-0.33
0.68
-1.33
-1.11
-0.63
0.35
1.29
-0.49
-0.31
1.91
0.39
0.53
2.14
0.3
-0.17
-0.97
0.74
0.01
0.06
0.23
-0.8
-0.05
-0.65
-1.52
0.05
-0.91
1.24
0.58
0.9
-0.79
-1.75
-0.9
1.83
-1.12
-0.47
-0.74
0.73

-0.44
-0.49
-0.55
-0.63
-0.65
-0.6
-0.57
-0.47
-0.44
-0.38
-0.48
-0.4
-0.35
-0.4
-0.38
-0.4
-0.43
-0.45
-0.41
-0.49
-0.55
-0.59
-0.57
-0.49
-0.52
-0.54
-0.43
-0.41
-0.38
-0.25
-0.23
-0.24
-0.3
-0.26
-0.26
-0.25
-0.24
-0.29
-0.29
-0.33
-0.41
-0.41
-0.46
-0.39
-0.36
-0.31
-0.35
-0.45
-0.51
-0.4
-0.46
-0.49
-0.53
-0.49

-0.23
-0.32
-0.43
-0.58
-0.61
-0.49
-0.41
-0.2
-0.14
-0.01
-0.2
-0.02
0.1
0.02
0.07
0.03
-0.01
-0.03
0.06
-0.08
-0.2
-0.26
-0.2
-0.04
-0.08
-0.1
0.13
0.19
0.26
0.52
0.57
0.56
0.47
0.56
0.58
0.6
0.64
0.56
0.57
0.51
0.34
0.36
0.27
0.43
0.51
0.63
0.55
0.36
0.27
0.49
0.38
0.34
0.27
0.36

0.4
0.4
0.41
0.41
0.42
0.42
0.42
0.43
0.43
0.44
0.44
0.44
0.45
0.45
0.45
0.46
0.46
0.47
0.47
0.47
0.48
0.48
0.48
0.49
0.49
0.49
0.5
0.5
0.5
0.51
0.51
0.51
0.52
0.52
0.52
0.53
0.53
0.53
0.54
0.54
0.54
0.54
0.55
0.55
0.55
0.56
0.56
0.56
0.57
0.57
0.57
0.57
0.58
0.58

102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155

0.34
0.34
0.35
0.35
0.35
0.36
0.36
0.36
0.37
0.37
0.37
0.38
0.38
0.38
0.39
0.39
0.39
0.4
0.4
0.4
0.41
0.41
0.41
0.42
0.42
0.42
0.43
0.43
0.43
0.44
0.44
0.44
0.45
0.45
0.45
0.46
0.46
0.46
0.47
0.47
0.47
0.48
0.48
0.48
0.49
0.49
0.49
0.5
0.5
0.5
0.51
0.51
0.51
0.52

0.76
0.47
0.91
0.57
0.57
0.43
0.8
0.58
0.76
0.28
0.38
0.05
0.87
0.19
0.04
0.14
0.66
0.17
0.52
0.26
0.07
0.96
0.7
0.8
0.46
0.57
0.85
0.36
0.03
0.94
0.74
0.79
0.41
0.65
0.36
0.99
0.08
0.15
0.57
0.84
0.43
0.94
0.89
0.3
0.14
0.93
0.44
0.8
0.11
0.97
0.06
0.17
0.93
0.76

-0.77
0.1
-1.05
-0.87
-0.87
1.03
-0.93
0.87
-0.58
-0.41
0.2
0.79
1.11
-0.95
2.97
-0.4
-0.18
-1.54
1.11
0.28
1.7
0.22
-0.19
-0.95
0.32
0.28
-1.09
0.7
1.46
-0.34
0.07
-1.05
1.34
0.45
-0.41
-1.27
0.06
0.04
1.34
0.85
1.07
-0.03
0.23
0.6
0.41
0.22
-1.47
-1.36
0.39
1.53
0.52
0.27
0.06
-1.16

-0.54
-0.53
-0.59
-0.64
-0.69
-0.63
-0.69
-0.64
-0.67
-0.69
-0.68
-0.63
-0.57
-0.63
-0.45
-0.48
-0.49
-0.58
-0.51
-0.5
-0.4
-0.38
-0.4
-0.45
-0.43
-0.42
-0.48
-0.44
-0.35
-0.37
-0.37
-0.43
-0.35
-0.33
-0.35
-0.42
-0.42
-0.42
-0.34
-0.29
-0.23
-0.23
-0.22
-0.18
-0.16
-0.15
-0.23
-0.31
-0.29
-0.2
-0.17
-0.15
-0.15
-0.22

0.29
0.31
0.2
0.12
0.03
0.16
0.07
0.18
0.13
0.1
0.13
0.24
0.38
0.28
0.64
0.61
0.6
0.43
0.58
0.62
0.83
0.87
0.86
0.77
0.82
0.86
0.75
0.84
1.03
1
1.02
0.91
1.08
1.15
1.11
0.98
1
1.02
1.18
1.3
1.43
1.44
1.48
1.57
1.63
1.67
1.51
1.37
1.42
1.61
1.69
1.73
1.75
1.63

0.58
0.59
0.59
0.59
0.59
0.6
0.6
0.6
0.61
0.61
0.61
0.61
0.62
0.62
0.62
0.62
0.63
0.63
0.63
0.64
0.64
0.64
0.64
0.65
0.65
0.65
0.65
0.66
0.66
0.66
0.66
0.67
0.67
0.67
0.67
0.68
0.68
0.68
0.68
0.69
0.69
0.69
0.69
0.7
0.7
0.7
0.7
0.7
0.71
0.71
0.71
0.71
0.72
0.72

156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209

0.52
0.52
0.53
0.53
0.53
0.54
0.54
0.54
0.55
0.55
0.55
0.56
0.56
0.56
0.57
0.57
0.57
0.58
0.58
0.58
0.59
0.59
0.59
0.6
0.6
0.6
0.61
0.61
0.61
0.62
0.62
0.62
0.63
0.63
0.63
0.64
0.64
0.64
0.65
0.65
0.65
0.66
0.66
0.66
0.67
0.67
0.67
0.68
0.68
0.68
0.69
0.69
0.69
0.7

0.97
0.39
0.33
0.82
0.75
0.36
0.76
0.48
0.15
0.18
0.13
0.5
0.16
0.21
0.65
0.73
0.05
0.09
0.67
0.94
0.39
0.81
0.87
0.84
0.61
0.98
0.8
0.67
0.15
0.73
0.43
0.12
0.12
0.76
0.94
0.86
0.12
0.7
0.35
0.26
0.88
0.47
0.76
0.04
0.68
0.42
0.77
0.73
0.5
0.44
0.67
0.9
0.26
0.54

0.76
-1.03
0.62
1.38
1.34
0.41
-0.57
-0.16
0.87
-0.86
-1.23
-1.04
-0.54
0.34
0.42
-0.82
-0.16
0.06
0.51
-1.97
-0.68
-0.38
0.28
-0.47
-0.15
-0.64
-0.65
-1.09
1.12
0.77
-0.64
0.37
1.49
2.47
0.16
1
0.4
1.02
-0.59
-0.09
-1.75
-0.29
0.28
-0.42
-2.15
-0.6
0.1
-0.12
0.83
-0.72
-0.06
-1.7
0.22
-1.36

-0.17
-0.23
-0.2
-0.12
-0.04
-0.02
-0.05
-0.06
-0.01
-0.06
-0.13
-0.19
-0.22
-0.2
-0.18
-0.22
-0.23
-0.23
-0.2
-0.32
-0.35
-0.38
-0.36
-0.39
-0.4
-0.43
-0.47
-0.53
-0.47
-0.42
-0.46
-0.44
-0.35
-0.21
-0.2
-0.15
-0.12
-0.06
-0.1
-0.1
-0.2
-0.22
-0.2
-0.23
-0.35
-0.39
-0.38
-0.39
-0.34
-0.38
-0.39
-0.48
-0.47
-0.55

1.73
1.63
1.71
1.88
2.05
2.11
2.06
2.06
2.17
2.08
1.95
1.85
1.8
1.85
1.91
1.83
1.83
1.85
1.92
1.7
1.64
1.61
1.65
1.61
1.61
1.55
1.49
1.37
1.51
1.62
1.56
1.61
1.8
2.1
2.13
2.26
2.32
2.45
2.39
2.39
2.2
2.18
2.23
2.19
1.96
1.9
1.93
1.93
2.04
1.97
1.97
1.79
1.83
1.69

0.72
0.72
0.73
0.73
0.73
0.73
0.73
0.74
0.74
0.74
0.74
0.75
0.75
0.75
0.75
0.75
0.76
0.76
0.76
0.76
0.77
0.77
0.77
0.77
0.77
0.78
0.78
0.78
0.78
0.79
0.79
0.79
0.79
0.79
0.8
0.8
0.8
0.8
0.8
0.81
0.81
0.81
0.81
0.81
0.82
0.82
0.82
0.82
0.82
0.83
0.83
0.83
0.83
0.83

210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263

0.7
0.7
0.71
0.71
0.71
0.72
0.72
0.72
0.73
0.73
0.73
0.74
0.74
0.74
0.75
0.75
0.75
0.76
0.76
0.76
0.77
0.77
0.77
0.78
0.78
0.78
0.79
0.79
0.79
0.8
0.8
0.8
0.81
0.81
0.81
0.82
0.82
0.82
0.83
0.83
0.83
0.84
0.84
0.84
0.85
0.85
0.85
0.86
0.86
0.86
0.87
0.87
0.87
0.88

0.73
0.87
0.52
0.54
0.54
0.67
0.26
0.97
0.79
0.38
0.73
0.73
0.24
0.85
0.43
0.59
0.11
0.3
0.06
0.87
0.35
0.74
0.29
0.12
0.48
0.79
0.56
0.14
0.69
0.82
0.68
0.42
0.69
0.2
0.96
0.23
0.86
0.22
0.2
0.65
0.6
0.93
0.38
0.84
0.78
0.8
0.43
0.89
0.11
0.5
0.76
0.45
0.24
0.05

-0.35
-1.93
-0.39
0.31
-0.98
-0.78
-0.25
-0.19
1.1
-0.43
-0.21
-0.19
-0.94
-1.46
-0.61
-0.13
0.09
-0.49
0.97
-1.06
0.38
1.03
-0.2
-0.88
-0.53
-0.78
-0.19
0.75
-0.64
-2.3
1.08
0.32
-1.78
-0.81
-0.69
-0.83
-0.18
0.38
0.32
-0.55
2.03
-1.7
0.57
-1.03
-1.19
2.3
0.25
0.39
-0.52
-0.17
0.83
1.64
-0.58
-0.79

-0.57
-0.68
-0.7
-0.69
-0.74
-0.79
-0.8
-0.81
-0.75
-0.78
-0.79
-0.8
-0.85
-0.94
-0.97
-0.98
-0.97
-1
-0.95
-1.01
-0.99
-0.93
-0.94
-0.99
-1.02
-1.06
-1.08
-1.03
-1.07
-1.2
-1.14
-1.12
-1.22
-1.27
-1.31
-1.36
-1.37
-1.35
-1.33
-1.36
-1.24
-1.34
-1.31
-1.37
-1.44
-1.3
-1.29
-1.27
-1.3
-1.31
-1.26
-1.16
-1.2
-1.24

1.66
1.45
1.42
1.47
1.37
1.29
1.28
1.27
1.41
1.37
1.36
1.35
1.26
1.1
1.04
1.04
1.06
1.02
1.15
1.04
1.09
1.23
1.22
1.13
1.08
1
1
1.1
1.04
0.78
0.92
0.97
0.78
0.7
0.63
0.55
0.54
0.6
0.65
0.6
0.85
0.67
0.75
0.64
0.52
0.79
0.84
0.9
0.85
0.84
0.95
1.15
1.1
1.02

0.84
0.84
0.84
0.84
0.84
0.85
0.85
0.85
0.85
0.85
0.86
0.86
0.86
0.86
0.86
0.87
0.87
0.87
0.87
0.87
0.88
0.88
0.88
0.88
0.88
0.89
0.89
0.89
0.89
0.89
0.89
0.9
0.9
0.9
0.9
0.9
0.91
0.91
0.91
0.91
0.91
0.91
0.92
0.92
0.92
0.92
0.92
0.93
0.93
0.93
0.93
0.93
0.93
0.94

264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300

0.88
0.88
0.89
0.89
0.89
0.9
0.9
0.9
0.91
0.91
0.91
0.92
0.92
0.92
0.93
0.93
0.93
0.94
0.94
0.94
0.95
0.95
0.95
0.96
0.96
0.96
0.97
0.97
0.97
0.98
0.98
0.98
0.99
0.99
0.99
1
1

0.57
0.72
0.84
0.13
0.86
0.52
0.95
0.54
0.95
0.64
0.74
0.9
0.87
0.61
0.12
0.07
0.26
0.72
0
0.63
0.56
0.78
0.44
1
0.67
0.54
0.49
0.43
0.99
0.73
0.48
0.56
0.45
0.31
0.69
0.31
0.84

-1.09
0.2
-0.17
0.16
-0.37
0.51
0.18
-0.79
-0.46
0.28
-0.19
0.17
0.89
1.05
-0.79
-0.15
-1.06
-0.87
-0.04
1.09
-0.4
0.26
1.04
1.59
-0.67
-1.02
-0.32
-1.67
-1.27
0.41
-0.63
-0.7
-0.71
0.51
0.85
0.24
-0.27

-1.3
-1.29
-1.3
-1.29
-1.32
-1.29
-1.27
-1.32
-1.35
-1.33
-1.34
-1.33
-1.28
-1.22
-1.27
-1.27
-1.34
-1.39
-1.39
-1.32
-1.35
-1.33
-1.27
-1.18
-1.22
-1.28
-1.3
-1.39
-1.47
-1.44
-1.48
-1.52
-1.56
-1.53
-1.48
-1.47
-1.48

0.91
0.95
0.94
0.97
0.94
1.02
1.05
0.97
0.93
0.98
0.97
1
1.12
1.25
1.18
1.17
1.06
0.98
0.98
1.12
1.09
1.13
1.27
1.46
1.4
1.3
1.27
1.09
0.96
1.02
0.96
0.89
0.82
0.9
1.01
1.05
1.03

0.94
0.94
0.94
0.94
0.95
0.95
0.95
0.95
0.95
0.95
0.96
0.96
0.96
0.96
0.96
0.96
0.97
0.97
0.97
0.97
0.97
0.97
0.98
0.98
0.98
0.98
0.98
0.98
0.99
0.99
0.99
0.99
0.99
0.99
1
1
1

Drift line
-T
aT + bT
aT - bT
(Stdev Z) (Stdev X) (Stdev X)
0
0
0
-0.06
0.13
-0.1
-0.08
0.19
-0.14
-0.1
0.24
-0.16
-0.12
0.28
-0.18
-0.13
0.32
-0.19
-0.14
0.36
-0.2
-0.15
0.4
-0.21
-0.16
0.43
-0.22
-0.17
0.47
-0.23
-0.18
0.5
-0.23
-0.19
0.53
-0.24
-0.2
0.56
-0.24
-0.21
0.59
-0.24
-0.22
0.62
-0.25
-0.22
0.65
-0.25
-0.23
0.68
-0.25
-0.24
0.7
-0.25
-0.24
0.73
-0.25
-0.25
0.76
-0.25
-0.26
0.78
-0.25
-0.26
0.81
-0.25
-0.27
0.83
-0.25
-0.28
0.86
-0.25
-0.28
0.89
-0.25
-0.29
0.91
-0.24
-0.29
0.94
-0.24
-0.3
0.96
-0.24
-0.31
0.98
-0.24
-0.31
1.01
-0.24
-0.32
1.03
-0.23
-0.32
1.06
-0.23
-0.33
1.08
-0.23
-0.33
1.1
-0.22
-0.34
1.13
-0.22
-0.34
1.15
-0.22
-0.35
1.17
-0.21
-0.35
1.2
-0.21
-0.36
1.22
-0.21
-0.36
1.24
-0.2
-0.37
1.26
-0.2
-0.37
1.29
-0.19
-0.37
1.31
-0.19
-0.38
1.33
-0.18
-0.38
1.35
-0.18
-0.39
1.37
-0.17
-0.39
1.4
-0.17
-0.4
1.42
-0.16
0.5

0.5

0.5

0
0

1
4

-0.4
-0.4
-0.41
-0.41
-0.42
-0.42
-0.42
-0.43
-0.43
-0.44
-0.44
-0.44
-0.45
-0.45
-0.45
-0.46
-0.46
-0.47
-0.47
-0.47
-0.48
-0.48
-0.48
-0.49
-0.49
-0.49
-0.5
-0.5
-0.5
-0.51
-0.51
-0.51
-0.52
-0.52
-0.52
-0.53
-0.53
-0.53
-0.54
-0.54
-0.54
-0.54
-0.55
-0.55
-0.55
-0.56
-0.56
-0.56
-0.57
-0.57
-0.57
-0.57
-0.58
-0.58

1.44
1.46
1.48
1.5
1.53
1.55
1.57
1.59
1.61
1.63
1.65
1.67
1.69
1.72
1.74
1.76
1.78
1.8
1.82
1.84
1.86
1.88
1.9
1.92
1.94
1.96
1.98
2
2.02
2.04
2.06
2.08
2.1
2.12
2.14
2.16
2.18
2.2
2.22
2.24
2.26
2.28
2.3
2.31
2.33
2.35
2.37
2.39
2.41
2.43
2.45
2.47
2.49
2.51

-0.16
-0.15
-0.15
-0.14
-0.14
-0.13
-0.13
-0.12
-0.12
-0.11
-0.11
-0.1
-0.09
-0.09
-0.08
-0.08
-0.07
-0.06
-0.06
-0.05
-0.05
-0.04
-0.03
-0.03
-0.02
-0.01
-0.01
0
0.01
0.01
0.02
0.03
0.03
0.04
0.05
0.05
0.06
0.07
0.08
0.08
0.09
0.1
0.1
0.11
0.12
0.13
0.13
0.14
0.15
0.16
0.16
0.17
0.18
0.19

-0.58
-0.59
-0.59
-0.59
-0.59
-0.6
-0.6
-0.6
-0.61
-0.61
-0.61
-0.61
-0.62
-0.62
-0.62
-0.62
-0.63
-0.63
-0.63
-0.64
-0.64
-0.64
-0.64
-0.65
-0.65
-0.65
-0.65
-0.66
-0.66
-0.66
-0.66
-0.67
-0.67
-0.67
-0.67
-0.68
-0.68
-0.68
-0.68
-0.69
-0.69
-0.69
-0.69
-0.7
-0.7
-0.7
-0.7
-0.7
-0.71
-0.71
-0.71
-0.71
-0.72
-0.72

2.53
2.55
2.56
2.58
2.6
2.62
2.64
2.66
2.68
2.7
2.72
2.73
2.75
2.77
2.79
2.81
2.83
2.85
2.86
2.88
2.9
2.92
2.94
2.96
2.98
2.99
3.01
3.03
3.05
3.07
3.09
3.1
3.12
3.14
3.16
3.18
3.2
3.21
3.23
3.25
3.27
3.29
3.31
3.32
3.34
3.36
3.38
3.4
3.41
3.43
3.45
3.47
3.49
3.5

0.19
0.2
0.21
0.22
0.22
0.23
0.24
0.25
0.26
0.26
0.27
0.28
0.29
0.3
0.3
0.31
0.32
0.33
0.34
0.34
0.35
0.36
0.37
0.38
0.38
0.39
0.4
0.41
0.42
0.43
0.43
0.44
0.45
0.46
0.47
0.48
0.48
0.49
0.5
0.51
0.52
0.53
0.53
0.54
0.55
0.56
0.57
0.58
0.59
0.59
0.6
0.61
0.62
0.63

-0.72
-0.72
-0.73
-0.73
-0.73
-0.73
-0.73
-0.74
-0.74
-0.74
-0.74
-0.75
-0.75
-0.75
-0.75
-0.75
-0.76
-0.76
-0.76
-0.76
-0.77
-0.77
-0.77
-0.77
-0.77
-0.78
-0.78
-0.78
-0.78
-0.79
-0.79
-0.79
-0.79
-0.79
-0.8
-0.8
-0.8
-0.8
-0.8
-0.81
-0.81
-0.81
-0.81
-0.81
-0.82
-0.82
-0.82
-0.82
-0.82
-0.83
-0.83
-0.83
-0.83
-0.83

3.52
3.54
3.56
3.58
3.59
3.61
3.63
3.65
3.67
3.68
3.7
3.72
3.74
3.75
3.77
3.79
3.81
3.83
3.84
3.86
3.88
3.9
3.91
3.93
3.95
3.97
3.98
4
4.02
4.04
4.05
4.07
4.09
4.11
4.12
4.14
4.16
4.18
4.19
4.21
4.23
4.25
4.26
4.28
4.3
4.32
4.33
4.35
4.37
4.39
4.4
4.42
4.44
4.46

0.64
0.65
0.66
0.66
0.67
0.68
0.69
0.7
0.71
0.72
0.73
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.8
0.81
0.81
0.82
0.83
0.84
0.85
0.86
0.87
0.88
0.89
0.9
0.91
0.91
0.92
0.93
0.94
0.95
0.96
0.97
0.98
0.99
1
1.01
1.02
1.02
1.03
1.04
1.05
1.06
1.07
1.08
1.09
1.1
1.11
1.12

-0.84
-0.84
-0.84
-0.84
-0.84
-0.85
-0.85
-0.85
-0.85
-0.85
-0.86
-0.86
-0.86
-0.86
-0.86
-0.87
-0.87
-0.87
-0.87
-0.87
-0.88
-0.88
-0.88
-0.88
-0.88
-0.89
-0.89
-0.89
-0.89
-0.89
-0.89
-0.9
-0.9
-0.9
-0.9
-0.9
-0.91
-0.91
-0.91
-0.91
-0.91
-0.91
-0.92
-0.92
-0.92
-0.92
-0.92
-0.93
-0.93
-0.93
-0.93
-0.93
-0.93
-0.94

4.47
4.49
4.51
4.53
4.54
4.56
4.58
4.59
4.61
4.63
4.65
4.66
4.68
4.7
4.71
4.73
4.75
4.77
4.78
4.8
4.82
4.83
4.85
4.87
4.89
4.9
4.92
4.94
4.95
4.97
4.99
5.01
5.02
5.04
5.06
5.07
5.09
5.11
5.13
5.14
5.16
5.18
5.19
5.21
5.23
5.24
5.26
5.28
5.29
5.31
5.33
5.35
5.36
5.38

1.13
1.14
1.15
1.15
1.16
1.17
1.18
1.19
1.2
1.21
1.22
1.23
1.24
1.25
1.26
1.27
1.28
1.29
1.3
1.31
1.32
1.33
1.33
1.34
1.35
1.36
1.37
1.38
1.39
1.4
1.41
1.42
1.43
1.44
1.45
1.46
1.47
1.48
1.49
1.5
1.51
1.52
1.53
1.54
1.55
1.56
1.57
1.58
1.59
1.6
1.6
1.61
1.62
1.63

-0.94
-0.94
-0.94
-0.94
-0.95
-0.95
-0.95
-0.95
-0.95
-0.95
-0.96
-0.96
-0.96
-0.96
-0.96
-0.96
-0.97
-0.97
-0.97
-0.97
-0.97
-0.97
-0.98
-0.98
-0.98
-0.98
-0.98
-0.98
-0.99
-0.99
-0.99
-0.99
-0.99
-0.99
-1
-1
-1

5.4
5.41
5.43
5.45
5.46
5.48
5.5
5.51
5.53
5.55
5.56
5.58
5.6
5.62
5.63
5.65
5.67
5.68
5.7
5.72
5.73
5.75
5.77
5.78
5.8
5.82
5.83
5.85
5.87
5.88
5.9
5.92
5.93
5.95
5.97
5.98
6

1.64
1.65
1.66
1.67
1.68
1.69
1.7
1.71
1.72
1.73
1.74
1.75
1.76
1.77
1.78
1.79
1.8
1.81
1.82
1.83
1.84
1.85
1.86
1.87
1.88
1.89
1.9
1.91
1.92
1.93
1.94
1.95
1.96
1.97
1.98
1.99
2

Wiener Process
Source: Hull, John C., Options, Futures & Other Derivatives. Fourth edition (2000). Prentice-Hall. P. 221
The figure below illustrates what happens if to the path followed by z (z follows Wiener process) if ∆ t approaches 0.
Note that for smaller ∆ t the path becomes quite "jagged" because the size of of a movement in z in ∆ t is proportional
to sqrt(∆ t). If ∆ t is small, sqrt(∆ t) is much larger.
This leads to two intriguing properties of the Wiener process:
- the expected length of the path followed by z in any time interval is infinite.
- the expected number of times z equals any particular value in any time interval is infinite.

Numerical example (press F9 to generate new random numbers)
Time (T)
1

Wiener Process with Dt -> 0
1.40
1.20
1.00
0.80
0.60
0.40

Delta t =0.00333

0.20
0.00
-0.20
-0.40
0

50 100 150 200 250 300 350
Time

Delta t =0.0100

Delta t =0.1000

if ∆ t approaches 0.
z in ∆ t is proportional

0

Wiener Process

Δz=ε  Δt
where ε is a random drawing from a
standardized normal distribution, Φ (0,1)

Delta t =0.1000

Delta t =0.00333
Delta t =0.0100
∆t
∆t
0.0033
0.0100 Trimmed range for chart
Z + ∆Z
Period
Time
Modulo
3
0
0
0
0
0 #VALUE! #VALUE!
1
0.0033
-0.02
#VALUE! #VALUE!
2
0.0067
0.03
#VALUE! #VALUE!
3
0.0100
0.06
0.01
0 #VALUE! #VALUE!
4
0.0133
0.19
#VALUE! #VALUE!
5
0.0167
0.15
#VALUE! #VALUE!
6
0.0200
0.12
0.02
0.02 #VALUE! #VALUE!
7
0.0233
0.17
#VALUE! #VALUE!
8
0.0267
0.09
#VALUE! #VALUE!
9
0.0300
0.09
0.03
0.03 #VALUE! #VALUE!
10
0.0333
0.05
#VALUE! #VALUE!
11
0.0367
0.01
#VALUE! #VALUE!
12
0.0400
0.03
0.04
-0.01 #VALUE! #VALUE!
13
0.0433
0.07
#VALUE! #VALUE!
14
0.0467
-0.01
#VALUE! #VALUE!
15
0.0500
-0.11
0.05
0.01 #VALUE! #VALUE!
16
0.0533
-0.14
#VALUE! #VALUE!
17
0.0567
-0.05
#VALUE! #VALUE!
18
0.0600
0.07
0.06
-0.02 #VALUE! #VALUE!
19
0.0633
0.08
#VALUE! #VALUE!
20
0.0667
0.01
#VALUE! #VALUE!
21
0.0700
-0.01
0.07
-0.05 #VALUE! #VALUE!
22
0.0733
0
#VALUE! #VALUE!
23
0.0767
-0.04
#VALUE! #VALUE!
24
0.0800
-0.18
0.08
-0.02 #VALUE! #VALUE!
25
0.0833
-0.11
#VALUE! #VALUE!
26
0.0867
-0.11
#VALUE! #VALUE!
27
0.0900
-0.15
0.09
-0.05 #VALUE! #VALUE!
28
0.0933
-0.14
#VALUE! #VALUE!
29
0.0967
-0.18
#VALUE! #VALUE!
30
0.1000
-0.12
0.1
-0.01 #VALUE! #VALUE!
31
0.1033
-0.01
#VALUE! #VALUE!
32
0.1067
0.01
#VALUE! #VALUE!
33
0.1100
0.03
0.11
0.04 #VALUE! #VALUE!
34
0.1133
0.06
#VALUE! #VALUE!
35
0.1167
0.08
#VALUE! #VALUE!
36
0.1200
0.15
0.12
0.11 #VALUE! #VALUE!

37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87

0.1233
0.1267
0.1300
0.1333
0.1367
0.1400
0.1433
0.1467
0.1500
0.1533
0.1567
0.1600
0.1633
0.1667
0.1700
0.1733
0.1767
0.1800
0.1833
0.1867
0.1900
0.1933
0.1967
0.2000
0.2033
0.2067
0.2100
0.2133
0.2167
0.2200
0.2233
0.2267
0.2300
0.2333
0.2367
0.2400
0.2433
0.2467
0.2500
0.2533
0.2567
0.2600
0.2633
0.2667
0.2700
0.2733
0.2767
0.2800
0.2833
0.2867
0.2900

0.26
0.24
0.36
0.35
0.38
0.33
0.27
0.25
0.22
0.17
0.2
0.16
0.11
0.07
0.05
0.06
0.13
0.14
0.14
0.19
0.04
0.09
0.07
0.03
0.05
0.02
0.09
0.06
-0.05
-0.05
-0.11
-0.26
-0.19
-0.25
-0.25
-0.25
-0.27
-0.25
-0.17
-0.14
-0.09
-0.07
0
0.13
0.2
0.16
0.16
0.21
0.27
0.16
0.17

0.13

0.12

0.14

0.04

0.15

-0.02

0.16

-0.05

0.17

-0.05

0.18

-0.05

0.19

-0.1

0.2

-0.15

0.21

-0.13

0.22

-0.13

0.23

-0.2

0.24

-0.26

0.25

-0.26

0.26

-0.25

0.27

-0.2

0.28

-0.07

0.29

-0.08

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!
#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138

0.2933
0.2967
0.3000
0.3033
0.3067
0.3100
0.3133
0.3167
0.3200
0.3233
0.3267
0.3300
0.3333
0.3367
0.3400
0.3433
0.3467
0.3500
0.3533
0.3567
0.3600
0.3633
0.3667
0.3700
0.3733
0.3767
0.3800
0.3833
0.3867
0.3900
0.3933
0.3967
0.4000
0.4033
0.4067
0.4100
0.4133
0.4167
0.4200
0.4233
0.4267
0.4300
0.4333
0.4367
0.4400
0.4433
0.4467
0.4500
0.4533
0.4567
0.4600

0.23
0.28
0.37
0.29
0.28
0.25
0.36
0.39
0.36
0.36
0.42
0.4
0.38
0.25
0.29
0.37
0.35
0.34
0.4
0.28
0.24
0.23
0.32
0.27
0.25
0.2
0.24
0.18
0.07
0.11
0.15
0.21
0.22
0.25
0.35
0.52
0.63
0.71
0.74
0.71
0.69
0.7
0.72
0.76
0.77
0.76
0.78
0.88
0.94
0.94
1.05

0.3

-0.15

0.31

-0.16

0.32

-0.16

0.33

-0.17

0.34

-0.16

0.35

-0.16

0.36

-0.15

0.37

-0.16

0.38

-0.2

0.39

-0.23

0.4

-0.38

0.41

-0.38

0.42

-0.35

0.43

-0.38

0.44

-0.42

0.45

-0.4

0.46

-0.35

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189

0.4633
0.4667
0.4700
0.4733
0.4767
0.4800
0.4833
0.4867
0.4900
0.4933
0.4967
0.5000
0.5033
0.5067
0.5100
0.5133
0.5167
0.5200
0.5233
0.5267
0.5300
0.5333
0.5367
0.5400
0.5433
0.5467
0.5500
0.5533
0.5567
0.5600
0.5633
0.5667
0.5700
0.5733
0.5767
0.5800
0.5833
0.5867
0.5900
0.5933
0.5967
0.6000
0.6033
0.6067
0.6100
0.6133
0.6167
0.6200
0.6233
0.6267
0.6300

0.96
1.06
1.14
1.11
1.08
1.01
0.87
0.87
0.81
0.85
0.8
0.66
0.63
0.7
0.8
0.78
0.84
0.91
0.8
0.74
0.7
0.72
0.75
0.64
0.59
0.53
0.56
0.5
0.61
0.56
0.5
0.4
0.34
0.24
0.21
0.21
0.15
0.13
0.22
0.19
0.11
0.06
0.03
0.01
-0.09
-0.12
-0.09
-0.02
-0.08
-0.03
-0.16

0.47

-0.36

0.48

-0.31

0.49

-0.29

0.5

-0.33

0.51

-0.35

0.52

-0.4

0.53

-0.39

0.54

-0.35

0.55

-0.37

0.56

-0.29

0.57

-0.32

0.58

-0.31

0.59

-0.31

0.6

-0.2

0.61

-0.22

0.62

-0.21

0.63

-0.27

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240

0.6333
0.6367
0.6400
0.6433
0.6467
0.6500
0.6533
0.6567
0.6600
0.6633
0.6667
0.6700
0.6733
0.6767
0.6800
0.6833
0.6867
0.6900
0.6933
0.6967
0.7000
0.7033
0.7067
0.7100
0.7133
0.7167
0.7200
0.7233
0.7267
0.7300
0.7333
0.7367
0.7400
0.7433
0.7467
0.7500
0.7533
0.7567
0.7600
0.7633
0.7667
0.7700
0.7733
0.7767
0.7800
0.7833
0.7867
0.7900
0.7933
0.7967
0.8000

-0.17
-0.18
-0.15
-0.15
-0.14
-0.06
-0.13
-0.09
-0.02
-0.05
0.03
0.11
0.1
0.19
0.15
0.24
0.17
0.18
0.25
0.24
0.26
0.17
0.2
0.12
0.05
0.13
0.19
0.31
0.23
0.25
0.39
0.39
0.29
0.33
0.42
0.44
0.46
0.38
0.37
0.37
0.35
0.33
0.32
0.38
0.34
0.37
0.42
0.4
0.36
0.39
0.43

0.64

-0.28

0.65

-0.35

0.66

-0.4

0.67

-0.44

0.68

-0.5

0.69

-0.44

0.7

-0.39

0.71

-0.35

0.72

-0.33

0.73

-0.24

0.74

-0.33

0.75

-0.33

0.76

-0.33

0.77

-0.36

0.78

-0.3

0.79

-0.2

0.8

-0.18

#VALUE!
#VALUE!
#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291

0.8033
0.8067
0.8100
0.8133
0.8167
0.8200
0.8233
0.8267
0.8300
0.8333
0.8367
0.8400
0.8433
0.8467
0.8500
0.8533
0.8567
0.8600
0.8633
0.8667
0.8700
0.8733
0.8767
0.8800
0.8833
0.8867
0.8900
0.8933
0.8967
0.9000
0.9033
0.9067
0.9100
0.9133
0.9167
0.9200
0.9233
0.9267
0.9300
0.9333
0.9367
0.9400
0.9433
0.9467
0.9500
0.9533
0.9567
0.9600
0.9633
0.9667
0.9700

0.51
0.55
0.54
0.43
0.49
0.46
0.53
0.59
0.58
0.58
0.64
0.72
0.72
0.74
0.8
0.75
0.71
0.8
0.81
0.85
0.83
0.91
0.86
0.81
0.76
0.82
0.69
0.69
0.62
0.65
0.62
0.49
0.49
0.52
0.42
0.4
0.28
0.36
0.31
0.3
0.3
0.17
0.15
0.33
0.34
0.3
0.25
0.3
0.25
0.3
0.31

0.81

-0.24

0.82

-0.25

0.83

-0.18

0.84

-0.13

0.85

-0.13

0.86

-0.19

0.87

-0.15

0.88

-0.17

0.89

-0.23

0.9

-0.19

0.91

-0.19

0.92

-0.17

0.93

-0.15

0.94

-0.19

0.95

-0.2

0.96

-0.17

0.97

-0.05

#VALUE!
#VALUE!
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LAST

292
293
294
295
296
297
298
299
300

0.9733
0.9767
0.9800
0.9833
0.9867
0.9900
0.9933
0.9967
1.0000

0.31
0.35
0.38
0.41
0.51
0.52
0.55
0.55
0.57

0.98

0.99

1

#VALUE!
#VALUE!
-0.12 #VALUE!
#VALUE!
#VALUE!
-0.15 #VALUE!
#VALUE!
#VALUE!
-0.15 #VALUE!

#VALUE!
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#VALUE!

Delta t =0.1000
∆t
0.1000 Trimmed range for chart
Modulo
30
#VALUE! #VALUE! #VALUE! #VALUE!
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#VALUE! #VALUE!
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Normal Variates

0.32
-0.16
-0.26
0.58
0.33
0.28
0.07
-0.21
0.32
-1.53
0.88
-1.19
1.39
-0.34
0.77
-0.76
-0.78
-0.35
0.43
-1.17
-0.11
2.08
0.23
-1.21
-1.4
0.06
1.36
-0.51
-0.51
1.19
-0.01
1.46
-0.47
1.25
0.37
1.64

-0.03

-0.03

-0.26

#VALUE!
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0.02
-0.94
-0.34
-1.11
-0.71
-0.91
-0.67
-1.01
0.12
-1.85
-0.31
0.73
-0.26
-1.7
1.22
1.05
-1.95
-0.05
1.81
-1.25
-2.55
1.16
-0.23
-0.5
0.71
1.33
-0.71
-1.41
0.85
1.19
-1.89
-0.5
-1.58
-0.26
-0.14
-0.54
0.2
0.51
-0.13
-1.14
0.6
0.95
1.25
-1.16
1.14
0.78
1.97
1.27
-0.63
1.56
-2.67

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-0.62
0.91
-0.22
0.2
0.2
-0.46
0.9
0.41
-1.16
0.52
0.49
-0.17
0.69
-1.36
1.16
-1.63
0.43
0.18
0
0.82
-0.52
-0.44
0.49
-0.19
-0.83
-0.08
-0.25
-1.27
0.62
-0.41
-1.25
-3.12
-1
0.05
0.2
0.64
1
-0.27
-0.26
1.8
-1.33
-1.37
-0.26
1.03
-0.95
-0.6
1.28
0.98
1.03
-0.25
0.33

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-1.04
0.61
-0.48
0.19
1.5
0.79
1.93
-1.82
0.05
-0.49
-1.08
0.05
-0.07
0.41
-1.29
-0.81
0
-0.02
0.27
-0.09
0.21
0.5
1.08
-0.17
1.09
-1.1
-0.44
0.52
2.19
0.62
-0.44
-1.1
-0.1
0.37
0.55
-0.27
-0.17
0.47
-0.18
1.64
2.61
0.17
-0.08
-0.08
-0.75
0.17
0.46
0.6
-1.57
-0.57
-0.88

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0.36
1.95
-1.65
-1.45
0.98
-0.89
-0.24
0.09
-0.95
-1.1
1.11
-0.51
0.25
0.03
-2.16
2.4
1.58
0.52
-0.2
1.24
0.5
2.29
-0.35
-0.99
-0.79
1.47
0.99
1.57
2.24
-1.17
-1.13
0.33
-1.31
-0.92
0.54
1.5
-0.35
-1.23
-0.08
0.09
-0.69
-0.42
1.01
1
1.03
1.07
0.97
0.81
0.14
-0.66
0.48

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-0.68
-0.7
-1.7
-0.23
-0.1
1.94
-0.68
-0.25
1.76
-0.33
0.08
0.23
-0.09
0.55
-0.54
-0.26
-1.45
-0.24
1.12
0.28
0.38
-0.83
-0.12
-0.02
-1.63
-0.49
-0.45
1
1.12
0.2
0.06
-1.19
0.93
0.18
0.07
-0.58
0.11
0.76
0.47
0.01
-1.06
-0.8
-1.31
0.28
1.41
-0.28
-2.38
2.56
0.82
1.16
0.27

#VALUE!
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-0.15
-1.4
-1.57
1.49
-1.11
-0.33
-0.65
1.97
-0.71

Geometric Brownian Motion
Source: Hull, John C., Options, Futures & Other Derivatives. Fourth edition (2000). Prentice-Hall. P. 226

ΔS
S

= μΔt σε

 Δt

The variable ∆ S is the change in the stock price, S, in a small interval of time ∆ t. are independent.
The parameters:
µ is the expected rate of return per unit of time (usually per year)
σ is the volatility of the stock price (σ and µ are assumed contant)
ε is a random drawing from a standardized normal distribution, Φ (0,1)
Numerical example (press F9 to generate new random numbers)
Stock price to t=0
Time (T)
Expected return (µ)
Volatility (σ)

$2.00
1 year(s)
20.00%
40.00%
0.0033

∆T

Simulation of Stock Price Paths
$7.00
$6.00
$5.00
$4.00
S -1

$3.00
$2.00
$1.00
$0

0.2

0.4

0.6

Time

0.8

1

1.2

S -2

S -3

S -4

S -5

S -6

ntice-Hall. P. 226

Period

independent.

S -3

S -4

S -5

S -6

Random Numbers
Uniform
Normal

Time
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48

0
0
0.01
0.01
0.01
0.02
0.02
0.02
0.03
0.03
0.03
0.04
0.04
0.04
0.05
0.05
0.05
0.06
0.06
0.06
0.07
0.07
0.07
0.08
0.08
0.08
0.09
0.09
0.09
0.1
0.1
0.1
0.11
0.11
0.11
0.12
0.12
0.12
0.13
0.13
0.13
0.14
0.14
0.14
0.15
0.15
0.15
0.16
0.16

0.64
0.28
0.15
0.21
0.22
0
0.67
0.11
0.58
0.9
0.73
0.52
0.2
0.01
0.53
0.62
0.7
0.28
0.58
0.34
0.4
0.31
0.81
0.51
0.67
0.93
0.71
0.56
0.47
0.02
0.89
0.72
0.8
0.26
0.33
0.22
0.93
0.14
0.96
0.95
0.03
0.92
0.15
0.9
0.19
0.54
0.58
0

S -1
S -2
S -3
S + ∆S
S + ∆S
S + ∆S
$2.00
$2.00
$2.00
-0.17
$1.99
$2.05
$2.04
0.73
$2.03
$2.06
$2.06
0.47
$2.05
$2.02
$2.10
1.38
$2.12
$2.02
$2.11
-0.12
$2.11
$1.96
$2.04
0.6
$2.14
$1.96
$1.98
-0.64
$2.11
$1.90
$1.99
-0.06
$2.11
$1.83
$1.97
0.38
$2.13
$1.85
$2.00
-0.14
$2.13
$1.83
$1.93
1.39
$2.20
$1.91
$1.99
-1.35
$2.13
$1.88
$1.99
-0.09
$2.13
$1.87
$2.02
-0.59
$2.10
$1.88
$1.97
-1.35
$2.04
$1.92
$1.94
-1.59
$1.96
$1.96
$1.98
0.01
$1.96
$1.96
$2.03
-0.55
$1.94
$1.98
$2.10
1.14
$1.99
$1.94
$2.10
0.44
$2.01
$1.88
$2.16
-1.22
$1.96
$1.92
$2.21
-0.18
$1.95
$1.90
$2.14
-0.96
$1.91
$1.90
$2.13
1.1
$1.96
$1.91
$2.06
-1.01
$1.91
$1.84
$2.12
1.12
$1.97
$1.86
$2.15
0.88
$2.01
$1.85
$2.11
0.61
$2.04
$1.87
$2.16
0.2
$2.05
$1.85
$2.30
-0.52
$2.02
$1.86
$2.22
-0.27
$2.01
$1.96
$2.29
-2.3
$1.91
$1.93
$2.25
-1.48
$1.84
$1.88
$2.29
-1.46
$1.78
$1.89
$2.26
1.45
$1.84
$1.87
$2.24
0.05
$1.85
$1.84
$2.15
0.83
$1.88
$1.90
$2.14
-0.88
$1.85
$1.90
$2.08
2.72
$1.96
$1.97
$2.06
-0.14
$1.96
$2.06
$2.14
0.34
$1.98
$2.11
$2.21
1.36
$2.04
$2.13
$2.17
0.09
$2.04
$2.11
$2.15
-1.3
$1.98
$2.13
$2.23
-0.87
$1.95
$2.22
$2.20
0.31
$1.96
$2.18
$2.19
-1.02
$1.92
$2.12
$2.18
0.51
$1.94
$2.10
$2.24

49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102

0.16
0.17
0.17
0.17
0.18
0.18
0.18
0.19
0.19
0.19
0.2
0.2
0.2
0.21
0.21
0.21
0.22
0.22
0.22
0.23
0.23
0.23
0.24
0.24
0.24
0.25
0.25
0.25
0.26
0.26
0.26
0.27
0.27
0.27
0.28
0.28
0.28
0.29
0.29
0.29
0.3
0.3
0.3
0.31
0.31
0.31
0.32
0.32
0.32
0.33
0.33
0.33
0.34
0.34

0.1
0.44
0.38
0.31
0.53
0.86
0.81
0.05
0.5
0.89
0.75
0.56
0.35
0.99
0.22
0.82
0.06
0.28
0.68
0.21
0.01
0.02
0.22
0.62
0.15
0.96
0.95
0.3
0.56
0.29
0.5
0.28
0.08
0.28
0.19
0.33
0.56
0.68
0.75
0.27
0.12
0.06
0.63
0.19
0.74
0.48
0.25
0.1
0.31
0.57
0.08
0.85
0.9
0.45

1.36
-1.95
-0.35
-1.99
-0.11
0.09
1.21
0.28
-0.24
0.52
-0.41
2.14
3.8
0.62
2.55
-1.48
0.86
1.41
0.23
0.26
-1.23
0.22
-1.67
0.66
0
0.21
1
0.51
-0.83
2.49
-0.28
-1.19
-2.07
0.69
-1.08
-0.07
-0.56
-1.91
-1.37
0.5
0.6
-0.19
0.46
0.6
-1.01
0.44
0.83
1.77
0.23
-0.29
0.16
0.53
1.96
0.28

$2.00
$1.91
$1.90
$1.81
$1.81
$1.81
$1.87
$1.88
$1.87
$1.89
$1.88
$1.97
$2.15
$2.18
$2.31
$2.23
$2.28
$2.35
$2.37
$2.38
$2.32
$2.33
$2.24
$2.28
$2.28
$2.29
$2.35
$2.37
$2.33
$2.47
$2.45
$2.39
$2.27
$2.31
$2.25
$2.25
$2.23
$2.13
$2.06
$2.09
$2.12
$2.11
$2.13
$2.17
$2.12
$2.14
$2.18
$2.27
$2.29
$2.27
$2.28
$2.31
$2.42
$2.43

$2.06
$2.02
$1.98
$1.93
$1.91
$1.87
$1.85
$1.91
$1.91
$1.91
$1.92
$1.82
$1.81
$1.84
$1.81
$1.75
$1.81
$1.87
$1.87
$1.85
$1.79
$1.81
$1.91
$2.00
$1.96
$1.87
$1.81
$1.80
$1.73
$1.70
$1.68
$1.66
$1.66
$1.62
$1.59
$1.57
$1.54
$1.54
$1.48
$1.46
$1.49
$1.45
$1.42
$1.42
$1.44
$1.51
$1.52
$1.49
$1.56
$1.54
$1.53
$1.52
$1.47
$1.44

$2.28
$2.33
$2.35
$2.31
$2.32
$2.29
$2.25
$2.24
$2.24
$2.29
$2.18
$2.14
$2.13
$2.13
$2.18
$2.29
$2.27
$2.24
$2.27
$2.23
$2.27
$2.32
$2.28
$2.35
$2.29
$2.25
$2.19
$2.12
$2.12
$2.18
$2.25
$2.26
$2.27
$2.28
$2.32
$2.36
$2.42
$2.37
$2.34
$2.34
$2.38
$2.29
$2.30
$2.33
$2.42
$2.37
$2.35
$2.41
$2.47
$2.43
$2.34
$2.28
$2.26
$2.31

103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156

0.34
0.35
0.35
0.35
0.36
0.36
0.36
0.37
0.37
0.37
0.38
0.38
0.38
0.39
0.39
0.39
0.4
0.4
0.4
0.41
0.41
0.41
0.42
0.42
0.42
0.43
0.43
0.43
0.44
0.44
0.44
0.45
0.45
0.45
0.46
0.46
0.46
0.47
0.47
0.47
0.48
0.48
0.48
0.49
0.49
0.49
0.5
0.5
0.5
0.51
0.51
0.51
0.52
0.52

0.12
0.07
0.25
0.61
0.46
0.35
0.56
0.6
0.75
0.08
0.89
0.36
0.81
0.81
0.03
0.23
0.68
0.5
0.74
0.05
0.6
0.14
0.15
0.87
0.41
0.07
0.42
0.55
0.3
0.58
0.82
0.17
0.67
0.59
0.54
0.96
0.21
0.84
0.47
0.85
0.05
0.97
0.97
0.86
0.45
0.77
0.05
0.97
0.04
0.98
0.85
0.25
0.31
0.19

-0.14
-0.06
-0.87
-0.56
-0.95
-0.26
-0.58
0.15
0.03
-0.53
-0.49
0.4
0.75
0.26
0.47
1.07
-0.54
-0.23
-0.57
1.89
-1.11
-0.15
0.36
1.47
-0.25
-0.73
-0.48
1.8
1.51
-0.55
0.19
-0.31
0.73
0.73
0.43
1.55
-0.98
1.61
0
0.46
-0.69
0.89
-0.44
-2.1
-0.22
-2.27
1.15
0.55
-0.2
-1
0.46
0.13
0.25
-0.47

$2.43
$2.43
$2.38
$2.35
$2.30
$2.29
$2.26
$2.27
$2.27
$2.25
$2.22
$2.24
$2.28
$2.30
$2.33
$2.38
$2.36
$2.34
$2.32
$2.42
$2.36
$2.35
$2.37
$2.45
$2.44
$2.40
$2.38
$2.48
$2.57
$2.53
$2.55
$2.53
$2.58
$2.62
$2.65
$2.75
$2.68
$2.79
$2.79
$2.82
$2.78
$2.84
$2.81
$2.67
$2.66
$2.52
$2.59
$2.63
$2.62
$2.56
$2.59
$2.60
$2.61
$2.59

$1.52
$1.52
$1.54
$1.57
$1.53
$1.55
$1.58
$1.59
$1.59
$1.66
$1.62
$1.58
$1.57
$1.50
$1.50
$1.53
$1.53
$1.61
$1.64
$1.68
$1.70
$1.64
$1.69
$1.71
$1.74
$1.81
$1.83
$1.78
$1.83
$1.90
$1.90
$1.92
$1.96
$1.98
$1.92
$1.88
$1.89
$1.84
$1.83
$1.72
$1.76
$1.86
$1.88
$1.85
$1.89
$1.92
$2.00
$2.04
$2.01
$1.96
$1.92
$1.87
$1.82
$1.90

$2.30
$2.30
$2.44
$2.40
$2.36
$2.35
$2.40
$2.37
$2.34
$2.35
$2.35
$2.23
$2.26
$2.26
$2.29
$2.27
$2.21
$2.25
$2.22
$2.18
$2.16
$2.17
$2.24
$2.32
$2.31
$2.28
$2.30
$2.32
$2.30
$2.26
$2.33
$2.50
$2.57
$2.58
$2.56
$2.53
$2.61
$2.52
$2.61
$2.68
$2.67
$2.58
$2.65
$2.66
$2.68
$2.73
$2.71
$2.71
$2.80
$2.89
$2.94
$2.99
$2.97
$3.00

157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210

0.52
0.53
0.53
0.53
0.54
0.54
0.54
0.55
0.55
0.55
0.56
0.56
0.56
0.57
0.57
0.57
0.58
0.58
0.58
0.59
0.59
0.59
0.6
0.6
0.6
0.61
0.61
0.61
0.62
0.62
0.62
0.63
0.63
0.63
0.64
0.64
0.64
0.65
0.65
0.65
0.66
0.66
0.66
0.67
0.67
0.67
0.68
0.68
0.68
0.69
0.69
0.69
0.7
0.7

0.74
0.38
0.17
0.54
0.02
0.94
0.86
0.61
0.34
0.75
0.41
0.88
0.09
0.27
0.25
0.5
0.88
0.43
0.13
0.94
0.72
0.93
0.33
0.97
0.83
0.93
0.28
0.7
0.46
0.87
0.11
0.93
0.71
0.61
0.19
0.45
0.34
0.72
0.2
0.12
0.23
0.94
0.13
0.89
0.5
0.18
0.46
0.19
0.82
0.46
0.06
0.33
0.22
0.04

-0.04
3
0.13
0.84
1.79
-0.03
-1.34
0.1
1.12
1.07
-0.51
0.09
0.83
-0.08
-0.05
-0.53
-1.06
0.6
-1.23
-0.06
0.65
0.06
-0.03
0.3
-0.73
1.31
0.76
1.35
-0.1
-0.32
-0.74
1.56
-0.32
0.79
0.64
-0.42
-0.61
0.95
1.15
-1.08
0.49
-0.92
0.45
-0.04
0.38
-1.02
0.78
0.81
1.18
1.23
-0.62
0.32
-0.22
0.68

$2.59
$2.77
$2.78
$2.83
$2.95
$2.95
$2.86
$2.87
$2.95
$3.02
$2.99
$3.00
$3.06
$3.05
$3.05
$3.01
$2.94
$2.99
$2.90
$2.90
$2.95
$2.95
$2.95
$2.97
$2.93
$3.02
$3.07
$3.17
$3.16
$3.14
$3.09
$3.20
$3.18
$3.24
$3.29
$3.26
$3.22
$3.29
$3.38
$3.30
$3.34
$3.27
$3.31
$3.31
$3.34
$3.26
$3.32
$3.39
$3.48
$3.58
$3.53
$3.56
$3.54
$3.60

$1.90
$1.86
$1.83
$1.80
$1.77
$1.74
$1.69
$1.67
$1.69
$1.73
$1.74
$1.81
$1.76
$1.78
$1.80
$1.82
$1.82
$1.76
$1.76
$1.72
$1.74
$1.73
$1.74
$1.78
$1.73
$1.74
$1.74
$1.79
$1.70
$1.77
$1.79
$1.80
$1.87
$1.92
$1.95
$1.97
$2.05
$2.07
$2.01
$2.10
$2.03
$1.93
$1.95
$1.94
$1.94
$2.02
$2.00
$1.92
$1.89
$1.87
$1.88
$1.89
$1.91
$1.91

$3.00
$2.95
$2.88
$3.02
$2.97
$2.96
$2.97
$3.00
$3.07
$3.12
$3.07
$3.05
$3.08
$3.16
$3.07
$3.04
$3.03
$3.08
$3.07
$3.02
$3.09
$3.14
$3.24
$3.26
$3.21
$3.30
$3.28
$3.28
$3.39
$3.30
$3.34
$3.27
$3.33
$3.35
$3.39
$3.35
$3.40
$3.43
$3.46
$3.48
$3.43
$3.53
$3.61
$3.66
$3.66
$3.57
$3.45
$3.50
$3.57
$3.64
$3.74
$3.85
$3.88
$4.02

211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264

0.7
0.71
0.71
0.71
0.72
0.72
0.72
0.73
0.73
0.73
0.74
0.74
0.74
0.75
0.75
0.75
0.76
0.76
0.76
0.77
0.77
0.77
0.78
0.78
0.78
0.79
0.79
0.79
0.8
0.8
0.8
0.81
0.81
0.81
0.82
0.82
0.82
0.83
0.83
0.83
0.84
0.84
0.84
0.85
0.85
0.85
0.86
0.86
0.86
0.87
0.87
0.87
0.88
0.88

0.77
0.23
0.37
0.44
0.16
0.98
0.78
0.65
0.54
0.15
0.1
0.56
0.99
0.72
0.49
0.5
0.86
0.81
0.29
0.43
0.12
0.85
0.82
0.47
0.01
0.25
0.65
0.27
0.43
0.36
0.1
0.41
0.54
0.83
0.75
0.44
0.88
0.85
0.01
0.89
0.64
0.37
0.63
0.41
0.42
0.17
0.14
0.21
0.18
0.35
0.15
0.7
0.85
0.42

-0.7
0.37
0.41
-2.05
0.14
-1.19
-0.27
0.8
-1.58
0.73
0.18
0.83
-1.25
1.01
0.32
2.04
2.11
-0.49
-1
0.4
0.83
0.87
0.88
0.2
0.25
0.5
-0.08
1.11
-0.48
1.18
0.3
0.15
0.06
-0.59
0.2
-1.4
-0.27
1.95
1.12
-0.12
0.65
-0.15
-0.69
1.03
-0.58
1.13
0.94
-0.63
-0.91
2.21
1.41
2.04
0.82
0.62

$3.55
$3.58
$3.62
$3.45
$3.46
$3.37
$3.35
$3.41
$3.29
$3.35
$3.37
$3.43
$3.33
$3.41
$3.44
$3.61
$3.78
$3.74
$3.66
$3.70
$3.77
$3.85
$3.93
$3.95
$3.97
$4.02
$4.02
$4.12
$4.08
$4.19
$4.23
$4.24
$4.25
$4.20
$4.22
$4.09
$4.06
$4.25
$4.36
$4.35
$4.42
$4.41
$4.34
$4.45
$4.39
$4.51
$4.61
$4.55
$4.45
$4.68
$4.84
$5.07
$5.17
$5.25

$1.84
$1.81
$1.83
$1.88
$1.91
$1.87
$1.83
$1.84
$1.87
$1.91
$1.92
$1.96
$1.92
$1.93
$1.97
$2.00
$2.01
$1.97
$1.99
$2.05
$2.14
$2.15
$2.15
$2.12
$2.15
$2.11
$2.05
$2.11
$2.07
$2.09
$2.12
$2.14
$2.13
$2.19
$2.26
$2.21
$2.25
$2.18
$2.18
$2.23
$2.33
$2.31
$2.39
$2.43
$2.43
$2.51
$2.57
$2.59
$2.62
$2.63
$2.59
$2.60
$2.55
$2.57

$4.02
$4.00
$4.07
$4.14
$3.90
$3.87
$4.02
$4.02
$3.92
$3.97
$4.03
$4.20
$4.24
$4.25
$4.18
$4.16
$4.19
$4.10
$4.25
$4.31
$4.27
$4.15
$4.11
$4.24
$4.29
$4.28
$4.47
$4.37
$4.49
$4.56
$4.63
$4.57
$4.65
$4.42
$4.49
$4.69
$4.53
$4.74
$4.64
$4.73
$4.75
$4.63
$4.66
$4.65
$4.61
$4.62
$4.57
$4.55
$4.68
$4.76
$4.83
$4.69
$4.45
$4.53

265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300

0.88
0.89
0.89
0.89
0.9
0.9
0.9
0.91
0.91
0.91
0.92
0.92
0.92
0.93
0.93
0.93
0.94
0.94
0.94
0.95
0.95
0.95
0.96
0.96
0.96
0.97
0.97
0.97
0.98
0.98
0.98
0.99
0.99
0.99
1
1

0.88
0.24
0.76
0.08
0.47
0.36
0.12
0.84
0.94
0.96
0.72
0.97
0.16
0.17
0.84
0.19
0.09
0.2
0.89
0.8
0.32
0.88
0.65
0.78
0.47
0.9
0.43
0.21
0.94
0.47
0.21
0.06
0.24
0.51
0.96
0.05

0.14
-0.28
-0.19
-1.98
-0.65
0.65
1.31
1.15
-0.52
-0.18
-1.03
1.17
0.03
0.12
1.05
-0.31
2.68
0.25
0.91
-0.7
-0.14
-1.28
-1.21
-0.6
-0.35
-0.54
-0.65
-0.57
-0.6
-1.63
-2.09
0.96
-0.14
-0.14
1.06
0.53

$5.27
$5.24
$5.22
$4.98
$4.91
$4.99
$5.14
$5.28
$5.22
$5.20
$5.09
$5.23
$5.23
$5.25
$5.38
$5.35
$5.68
$5.72
$5.84
$5.75
$5.74
$5.57
$5.42
$5.35
$5.31
$5.25
$5.17
$5.11
$5.04
$4.85
$4.62
$4.73
$4.72
$4.70
$4.82
$4.88

$2.47
$2.43
$2.41
$2.42
$2.46
$2.38
$2.35
$2.44
$2.49
$2.45
$2.37
$2.35
$2.28
$2.23
$2.25
$2.10
$2.05
$2.13
$2.20
$2.26
$2.27
$2.27
$2.31
$2.37
$2.40
$2.48
$2.30
$2.25
$2.19
$2.25
$2.21
$2.15
$2.18
$2.19
$2.33
$2.40

$4.46
$4.38
$4.12
$4.16
$4.13
$4.26
$4.14
$4.19
$4.32
$4.33
$4.35
$4.42
$4.31
$4.36
$4.35
$4.36
$4.44
$4.50
$4.51
$4.59
$4.70
$4.60
$4.54
$4.53
$4.39
$4.26
$4.18
$4.09
$3.96
$4.10
$4.11
$3.96
$4.03
$4.07
$4.04
$3.99

S -4
S -5
S -6
Drift line
S + ∆S
S + ∆S
S + ∆S
0
$2.00
$2.00
$2.00
0
$1.95
$1.98
$2.05
$1.93
$1.96
$2.05
$1.93
$1.96
$2.03
$1.93
$1.96
$2.05
$1.95
$1.97
$1.98
$2.01
$1.97
$2.04
$2.02
$1.93
$2.12
$2.04
$1.85
$2.13
$2.01
$1.89
$2.15
$1.95
$1.88
$2.17
$1.95
$1.93
$2.11
$2.03
$1.86
$2.16
$2.04
$1.93
$2.21
$1.96
$1.98
$2.17
$2.05
$2.06
$2.16
$2.01
$2.00
$2.19
$1.98
$2.00
$2.21
$1.98
$2.04
$2.20
$2.05
$2.13
$2.24
$2.02
$2.14
$2.23
$2.03
$2.10
$2.20
$1.92
$2.04
$2.18
$1.91
$2.07
$2.23
$1.86
$2.08
$2.22
$1.86
$2.04
$2.21
$1.74
$1.95
$2.25
$1.69
$2.03
$2.25
$1.64
$2.05
$2.30
$1.69
$2.00
$2.20
$1.69
$2.05
$2.20
$1.64
$2.08
$2.10
$1.70
$2.06
$2.16
$1.67
$2.05
$2.28
$1.64
$2.00
$2.26
$1.62
$2.00
$2.27
$1.64
$2.07
$2.19
$1.66
$2.09
$2.16
$1.59
$2.00
$2.16
$1.58
$1.96
$2.18
$1.59
$2.01
$2.26
$1.58
$2.02
$2.19
$1.63
$2.03
$2.23
$1.63
$2.11
$2.26
$1.60
$2.10
$2.34
$1.56
$2.14
$2.22
$1.53
$2.10
$2.17
$1.53
$2.06
$2.20
$1.54
$2.08
$2.21

1
0

$1.55
$1.58
$1.55
$1.60
$1.55
$1.61
$1.57
$1.55
$1.52
$1.48
$1.44
$1.40
$1.34
$1.34
$1.35
$1.31
$1.34
$1.31
$1.30
$1.37
$1.30
$1.33
$1.33
$1.35
$1.33
$1.32
$1.28
$1.29
$1.32
$1.34
$1.29
$1.30
$1.32
$1.37
$1.41
$1.39
$1.43
$1.37
$1.35
$1.30
$1.30
$1.34
$1.38
$1.41
$1.42
$1.38
$1.37
$1.37
$1.37
$1.42
$1.42
$1.40
$1.40
$1.42

$2.12
$2.21
$2.20
$2.28
$2.36
$2.36
$2.36
$2.37
$2.32
$2.35
$2.32
$2.29
$2.27
$2.27
$2.17
$2.13
$2.19
$2.12
$2.04
$2.03
$2.11
$2.06
$2.00
$2.02
$2.06
$2.05
$2.05
$2.00
$1.93
$1.92
$1.96
$2.02
$2.06
$2.15
$2.23
$2.29
$2.24
$2.23
$2.26
$2.26
$2.25
$2.27
$2.28
$2.31
$2.31
$2.33
$2.37
$2.47
$2.47
$2.46
$2.42
$2.40
$2.38
$2.40

$2.22
$2.22
$2.11
$2.17
$2.21
$2.27
$2.24
$2.19
$2.21
$2.25
$2.36
$2.39
$2.35
$2.22
$2.22
$2.19
$2.18
$2.10
$2.08
$2.10
$2.10
$2.25
$2.26
$2.28
$2.32
$2.30
$2.30
$2.35
$2.35
$2.31
$2.30
$2.20
$2.22
$2.22
$2.29
$2.28
$2.26
$2.21
$2.22
$2.31
$2.39
$2.41
$2.43
$2.38
$2.40
$2.34
$2.34
$2.47
$2.43
$2.47
$2.49
$2.53
$2.58
$2.53

$1.37
$1.34
$1.31
$1.30
$1.30
$1.32
$1.33
$1.36
$1.37
$1.41
$1.44
$1.45
$1.41
$1.41
$1.39
$1.37
$1.31
$1.36
$1.36
$1.33
$1.32
$1.31
$1.33
$1.38
$1.37
$1.38
$1.39
$1.39
$1.36
$1.33
$1.32
$1.34
$1.36
$1.37
$1.42
$1.41
$1.43
$1.42
$1.44
$1.46
$1.42
$1.42
$1.43
$1.42
$1.38
$1.34
$1.38
$1.43
$1.43
$1.48
$1.46
$1.49
$1.53
$1.51

$2.44
$2.46
$2.39
$2.25
$2.19
$2.15
$2.20
$2.27
$2.25
$2.21
$2.25
$2.22
$2.30
$2.30
$2.27
$2.25
$2.24
$2.19
$2.16
$2.10
$2.16
$2.06
$2.00
$1.99
$2.03
$2.01
$1.97
$1.99
$1.94
$1.93
$1.91
$1.90
$1.93
$1.90
$1.93
$1.91
$1.93
$1.92
$1.90
$1.86
$1.84
$1.87
$1.77
$1.79
$1.80
$1.80
$1.84
$1.86
$1.86
$1.86
$1.83
$1.90
$1.86
$1.86

$2.51
$2.52
$2.53
$2.60
$2.59
$2.75
$2.66
$2.72
$2.60
$2.64
$2.61
$2.70
$2.64
$2.65
$2.58
$2.62
$2.63
$2.52
$2.50
$2.45
$2.41
$2.52
$2.49
$2.52
$2.63
$2.64
$2.64
$2.65
$2.62
$2.58
$2.64
$2.66
$2.71
$2.69
$2.70
$2.64
$2.62
$2.64
$2.51
$2.50
$2.47
$2.44
$2.42
$2.41
$2.48
$2.47
$2.43
$2.43
$2.42
$2.44
$2.45
$2.49
$2.50
$2.58

$1.51
$1.54
$1.54
$1.52
$1.49
$1.51
$1.49
$1.53
$1.54
$1.58
$1.57
$1.57
$1.51
$1.52
$1.51
$1.51
$1.45
$1.45
$1.45
$1.45
$1.46
$1.38
$1.33
$1.26
$1.27
$1.29
$1.30
$1.31
$1.31
$1.33
$1.41
$1.45
$1.44
$1.44
$1.42
$1.42
$1.41
$1.42
$1.41
$1.35
$1.34
$1.28
$1.33
$1.38
$1.39
$1.39
$1.41
$1.43
$1.45
$1.38
$1.37
$1.38
$1.34
$1.29

$1.82
$1.83
$1.80
$1.72
$1.74
$1.73
$1.76
$1.73
$1.76
$1.71
$1.74
$1.75
$1.73
$1.79
$1.84
$1.90
$1.87
$1.87
$1.92
$1.94
$1.91
$1.95
$2.00
$2.02
$2.08
$2.16
$2.13
$2.16
$2.10
$2.18
$2.14
$2.04
$2.03
$2.08
$2.02
$2.05
$2.05
$2.04
$2.05
$1.98
$2.01
$1.97
$1.98
$1.97
$1.99
$2.01
$1.98
$1.94
$1.91
$1.97
$1.98
$2.00
$1.96
$1.96

$2.57
$2.58
$2.57
$2.63
$2.57
$2.61
$2.53
$2.66
$2.64
$2.72
$2.70
$2.76
$2.68
$2.72
$2.71
$2.64
$2.57
$2.61
$2.59
$2.59
$2.54
$2.51
$2.58
$2.57
$2.61
$2.59
$2.49
$2.47
$2.36
$2.38
$2.35
$2.34
$2.29
$2.32
$2.29
$2.26
$2.26
$2.24
$2.21
$2.26
$2.22
$2.25
$2.26
$2.25
$2.23
$2.16
$2.15
$2.15
$2.20
$2.26
$2.35
$2.24
$2.19
$2.24

$1.31
$1.32
$1.34
$1.34
$1.31
$1.28
$1.33
$1.33
$1.38
$1.41
$1.41
$1.42
$1.41
$1.40
$1.40
$1.46
$1.47
$1.46
$1.42
$1.39
$1.36
$1.30
$1.25
$1.27
$1.29
$1.30
$1.30
$1.34
$1.34
$1.33
$1.35
$1.32
$1.35
$1.37
$1.37
$1.34
$1.31
$1.33
$1.35
$1.33
$1.29
$1.30
$1.27
$1.26
$1.29
$1.30
$1.26
$1.30
$1.28
$1.32
$1.32
$1.31
$1.29
$1.36

$1.90
$1.87
$1.88
$1.91
$1.89
$1.94
$1.95
$1.98
$1.94
$1.96
$2.01
$2.04
$2.01
$2.01
$2.00
$1.97
$1.97
$1.96
$2.01
$1.98
$1.96
$1.90
$1.91
$1.78
$1.79
$1.75
$1.72
$1.77
$1.75
$1.80
$1.79
$1.77
$1.78
$1.84
$1.89
$1.90
$1.87
$1.84
$1.84
$1.84
$1.90
$1.91
$1.91
$1.93
$1.96
$1.97
$2.00
$2.08
$2.09
$2.12
$2.04
$2.07
$1.97
$2.10

$2.24
$2.30
$2.25
$2.25
$2.21
$2.17
$2.12
$2.11
$2.13
$2.11
$2.06
$2.12
$2.14
$2.15
$2.11
$2.19
$2.18
$2.18
$2.20
$2.07
$2.12
$2.24
$2.17
$2.14
$2.15
$2.21
$2.16
$2.15
$2.22
$2.20
$2.17
$2.16
$2.12
$2.11
$2.18
$2.17
$2.19
$2.12
$2.16
$2.13
$2.12
$2.21
$2.16
$2.07
$2.08
$2.07
$2.18
$2.26
$2.32
$2.34
$2.42
$2.45
$2.47
$2.62

$1.36
$1.35
$1.33
$1.29
$1.29
$1.37
$1.35
$1.42
$1.39
$1.38
$1.39
$1.35
$1.34
$1.36
$1.36
$1.36
$1.46
$1.46
$1.41
$1.42
$1.38
$1.33
$1.28
$1.31
$1.36
$1.38
$1.37
$1.37
$1.36
$1.33
$1.24
$1.27
$1.29
$1.26
$1.30
$1.30

$2.07
$2.08
$2.01
$2.00
$2.00
$1.99
$1.99
$1.98
$2.04
$2.04
$2.01
$1.92
$1.92
$1.92
$1.95
$2.03
$1.91
$1.87
$1.88
$1.90
$1.91
$1.90
$1.82
$1.80
$1.75
$1.75
$1.80
$1.81
$1.79
$1.83
$1.85
$1.72
$1.71
$1.74
$1.77
$1.68

$2.52
$2.44
$2.51
$2.47
$2.48
$2.52
$2.53
$2.59
$2.54
$2.58
$2.54
$2.46
$2.40
$2.47
$2.42
$2.51
$2.45
$2.47
$2.54
$2.51
$2.53
$2.53
$2.56
$2.58
$2.56
$2.57
$2.53
$2.50
$2.47
$2.52
$2.49
$2.47
$2.55
$2.49
$2.51
$2.50

Stock Price Paths with Jumps
Source: Hull, John C., Options, Futures & Other Derivatives. Fourth edition (2000). Prentice-Hall.
Brownian motion: p. 226, Jump Diffusion (Merton): p. 446

Geometric Brownian Motion with Jump Term
Δ
S


Δ
t
σ
ε  Δ
t κ
Δ
q
S
0 w
ith
 p
ro
b
a
b
ility
 1− λ
Δ
t
1 w
ith
 p
ro
b
a
b
ility
 λ
Δ
t
¿
¿
¿
Δ
q =¿ {¿ ¿ ¿
¿
¿

The variable ∆ S is the change in the stock price, S, in a small interval of time ∆ t. are independent.
The parameters:
µ is the expected rate of return per unit of time (usually per year)
σ is the volatility of the stock price (σ and µ are assumed contant)
ε is a random drawing from a standardized normal distribution, Φ (0,1)
κ Average jump size measured as a proportional increase in asset price
λ Rate at which jumps happen per time unit (year), also called INTENSITY of Poisson process
Numerical example (press F9 to generate new random numbers)
Stock price to t=0
$2.00
Time (T)
11 year(s)
Drift (µ)
20.00%
Volatility (σ)
40.00%
Intensity (λ) Lambda
0.50 number of jumps per year
Jump size (κ) Kappa
-5.0% as % of previous stock price
% stock price after jump (J)
95.0% as % of previous stock price
γ Gamma = ln(1+κ)
-0.05 Drift of ln(J)
Standard deviation log of J (σ')
J (-σ')
J (+σ')
50.00%
∆T
0.0220
0.58
1.57

Simulation of Stock Price Paths with Jump Term
(Dynamic Jump Size)
$8.00
$6.00
$4.00

Pure Brownian
Motion

$2.00
$-$2.00
-$4.00
0

2

4
Time

6

8

10

12

Brownian motion
with stochastic
jumps (ln J
normally
distributed)

Jump

$-$2.00
-$4.00
0

2

4
Time

6

8

10

12

ice-Hall.

FIXED JUMP SIZE
Pure Brownian
Brownian
Motionmotion
Jump with fixed jumps
Period

dependent.

rocess

mp Term

Brownian motion
with stochastic
jumps (ln J
normally
distributed)

Jump

Time
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
$6.00
30
31
$5.00
32
33
$4.00
34
35
$3.00
36
37
$2.00
38
39
$1.00
40
41 $42
-$1.00
43
44
-$2.00
45

Normal Variates
Rand()
0
-0.51
0.02
1.82
0.39
0.04
-1.08
0.39
0.07
-0.67
0.54
0.09
-1.04
0.15
0.11
1.2
0.68
0.13
0.01
0.49
0.15
-0.67
0.24
0.18
-2.33
0.42
0.2
-0.26
0.99
0.22
-0.18
0.57
0.24
1.69
0.32
0.26
0.12
0.51
0.29
-2.62
0.18
0.31
1.09
0.68
0.33
1.02
0.78
0.35
0.32
0.34
0.37
-0.47
0.53
0.4
0.08
0.78
0.42
-0.72
0.04
0.44
0.5
0.33
0.46
-1.27
0.78
0.48
-0.12
0.74
0.51
2.37
0.65
0.53
-0.22
0.97
0.55
-0.65
0.52
0.57
-0.57
0.57
Simulation
0.59
0.76
0.73
0.62
-1
0.97
0.64
-0.1
0.59
0.66
-0.35
0.03
0.68
0.24
0.47
0.7
-0.19
0.98
0.73
0.01
0.42
0.75
1.02
0.01
0.77
0.18
0.12
0.79
-0.28
0.1
0.81
-0.39
0.5
0.84
0.92
0.36
0.86
-0.26
0.52
0.88
0.66
0.49
0.9
-0.68
0.93
0.92
-0.38
0.84
0.95
-0.54
1
0.97
-0.66
0.11
0.99
-0.79
0.52

0

2

4

Time

6

of

8

$2.00
$2.00
$2.13
$2.13
$$2.28
$2.28
$$1.99
$1.99
$$1.82
$1.82
$$1.74
$1.74
$$1.80
$1.80
$$1.88
$1.88
$$2.08
$1.99
-$0.094
$2.12
$2.03
-$0.094
$2.07
$1.98
-$0.094
$2.02
$1.93
-$0.094
$1.90
$1.72
-$0.191
$1.86
$1.68
-$0.191
$1.76
$1.59
-$0.191
$1.78
$1.61
-$0.191
$1.71
$1.55
-$0.191
$1.49
$1.35
-$0.191
$1.39
$1.26
-$0.191
$1.39
$1.26
-$0.191
$1.47
$1.33
-$0.191
$1.54
$1.39
-$0.191
$1.67
$1.51
-$0.191
$1.45
$1.31
-$0.191
$1.51
$1.37
-$0.191
$1.61
$1.46
-$0.191
$1.49
$1.27
-$0.264
Stock Price
$1.47
$1.26 Paths
-$0.264with Jump Ter
(Fixed$1.37
Jump-$0.264
Size)
$1.61
$1.78
$1.53
-$0.264
$1.75
$1.50
-$0.264
$1.76
$1.50
-$0.264
$1.85
$1.58
-$0.264
$1.78
$1.52
-$0.264
$1.79
$1.53
-$0.264
$1.91
$1.64
-$0.264
$1.90
$1.63
-$0.264
Brownian
Browni
$1.81
$1.55 Pure
-$0.264
with fix
$1.85
$1.58 Motion
-$0.264
$1.83
$1.56
-$0.264
$1.92
$1.64
-$0.264
$2.12
$1.81
-$0.264
$2.19
$1.87
-$0.264
$2.39
$2.04
-$0.264
$2.32
$1.98
-$0.264
$2.48
$2.12
-$0.264

10 12

$-$1.00
-$2.00
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99

1.01
0
1.03
1.06
1.08
1.1
1.12
1.14
1.17
1.19
1.21
1.23
1.25
1.28
1.3
1.32
1.34
1.36
1.39
1.41
1.43
1.45
1.47
1.5
1.52
1.54
1.56
1.58
1.61
1.63
1.65
1.67
1.69
1.72
1.74
1.76
1.78
1.8
1.83
1.85
1.87
1.89
1.91
1.94
1.96
1.98
2
2.02
2.05
2.07
2.09
2.11
2.13
2.16
2.18

2

-1.08
4
6 0.77 8
1.17
0.46
Time 0.04
0.08
0.44
0.55
-1.2
0.5
-0.75
0.38
0.75
0.33
0.17
0.24
-0.78
0.03
-0.89
0.3
0.93
0.76
0
0.6
1.76
0.03
2.11
0.73
1.75
0.18
-0.45
0.06
0.2
0.2
-0.3
0.16
0.95
0.48
-0.19
0.21
1.7
0.28
-0.78
0.58
0.74
0.71
0.77
0.65
0.3
0.1
0.04
0.2
-1.92
0.58
1.89
0.93
0.89
0.2
-0.58
0.69
-0.89
0.45
1.68
0.97
-0.99
0.15
0.58
0.49
0.32
0.52
-0.59
0.64
1.6
0.87
-0.26
0.85
1.01
0.88
-0.99
0.9
0.21
0.16
0.43
0.64
0.42
0.49
0.11
0.19
0.39
0.38
0.31
0.67
1.12
0.25
-0.75
0.57
-2.47
0.83
0.52
0.74
0.39
0.78
1.78
0.12
1.38
0.32
-0.2
0.5

$2.48
10
$2.49
$2.68
$2.72
$3.14
$3.24
$3.18
$3.44
$3.55
$3.31
$3.46
$3.62
$3.64
$3.77
$3.92
$4.19
$3.97
$4.00
$3.72
$3.83
$3.79
$3.82
$4.07
$3.60
$3.93
$4.02
$4.48
$4.59
$4.65
$4.48
$4.50
$3.92
$4.11
$4.05
$4.13
$4.32
$3.93
$4.34
$4.47
$4.65
$4.26
$4.23
$4.25
$4.31
$4.02
$3.86
$3.84
$3.72
$3.89
$3.93
$4.32
$4.07
$3.74
$3.93

12$2.12
$2.13
$2.29
$2.33
$2.68
$2.77
$2.72
$2.94
$3.03
$2.83
$2.96
$3.10
$3.11
$3.06
$3.19
$3.41
$3.23
$3.26
$3.03
$3.11
$3.08
$3.11
$3.15
$2.79
$3.04
$3.12
$3.47
$3.56
$3.60
$3.47
$3.49
$3.04
$3.18
$3.14
$3.20
$3.35
$3.04
$3.36
$3.46
$3.61
$3.30
$3.28
$3.29
$3.34
$3.12
$2.99
$2.98
$2.89
$3.02
$3.05
$3.35
$3.16
$2.90
$3.05

-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.264
-$0.419
-$0.419
-$0.419
-$0.419
-$0.419
-$0.419
-$0.419
-$0.419
-$0.419
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575

100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153

2.2
2.22
2.24
2.27
2.29
2.31
2.33
2.35
2.38
2.4
2.42
2.44
2.46
2.49
2.51
2.53
2.55
2.57
2.6
2.62
2.64
2.66
2.68
2.71
2.73
2.75
2.77
2.79
2.82
2.84
2.86
2.88
2.9
2.93
2.95
2.97
2.99
3.01
3.04
3.06
3.08
3.1
3.12
3.15
3.17
3.19
3.21
3.23
3.26
3.28
3.3
3.32
3.34
3.37

0.65
0.09
1.55
0.73
0.01
0.68
-1.64
0.5
0.54
-0.8
-0.23
-0.44
-0.03
-0.37
0.6
-0.44
0.04
-0.5
2.84
-0.91
1.04
0.38
0.85
0.58
1.15
0.88
-0.21
0.06
0.75
-0.43
1.61
0.03
1.12
1.21
-0.58
-0.32
0.35
-0.43
-1.52
-0.4
0.11
-0.06
0.45
-1.87
0.96
-0.25
-0.36
-0.39
0.55
-0.36
0.07
0.15
-2.51
-0.44

0.76
0.41
0.7
0.34
0.35
0.89
0.04
0.79
0.86
0.18
0.29
0.38
0.83
0.16
0.24
0.71
0.05
0.39
0.35
0.54
0.58
0.73
0.22
0.83
0.3
0.05
0.57
0.09
0.17
0.88
0.58
0.93
0.3
0.28
0.27
0.64
0.17
0.31
0.44
0.04
0.49
0.72
0.42
0.32
0.88
0.66
0.03
0.93
0.05
0.38
0.47
0.63
0.11
0.69

$3.73
$3.05
$3.02
$2.84
$2.91
$3.24
$3.20
$3.00
$3.38
$3.19
$3.21
$3.26
$3.55
$3.60
$3.63
$3.69
$3.60
$3.66
$3.14
$3.32
$3.14
$2.93
$2.61
$2.66
$2.63
$2.76
$2.60
$2.55
$2.78
$2.66
$2.50
$2.32
$2.22
$2.25
$2.16
$2.30
$2.32
$2.37
$2.67
$2.68
$2.81
$2.82
$2.58
$2.68
$2.44
$2.48
$2.41
$2.37
$2.26
$2.20
$2.08
$2.04
$2.02
$1.93

$2.89
$2.36
$2.34
$2.20
$2.26
$2.51
$2.48
$2.33
$2.62
$2.47
$2.49
$2.53
$2.75
$2.79
$2.82
$2.86
$2.79
$2.84
$2.44
$2.57
$2.43
$2.27
$2.02
$2.06
$2.04
$2.14
$2.02
$1.98
$2.16
$2.07
$1.94
$1.80
$1.72
$1.74
$1.67
$1.78
$1.80
$1.84
$2.07
$2.08
$2.18
$2.19
$2.00
$2.08
$1.89
$1.93
$1.78
$1.75
$1.66
$1.62
$1.53
$1.50
$1.49
$1.42

-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.575
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671

154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207

3.39
3.41
3.43
3.45
3.48
3.5
3.52
3.54
3.56
3.59
3.61
3.63
3.65
3.67
3.7
3.72
3.74
3.76
3.78
3.81
3.83
3.85
3.87
3.89
3.92
3.94
3.96
3.98
4
4.03
4.05
4.07
4.09
4.11
4.14
4.16
4.18
4.2
4.22
4.25
4.27
4.29
4.31
4.33
4.36
4.38
4.4
4.42
4.44
4.47
4.49
4.51
4.53
4.55

-0.58
1.18
-1.07
0.52
-0.24
1.37
-1.82
-0.38
-0.18
1.3
-0.71
0.55
-0.59
1.16
-1.74
-0.41
-0.77
0.21
0.9
1.25
0.29
0.38
-0.54
1.96
2.57
-2.67
-0.43
0.06
0.16
-0.41
1.05
1.02
-0.77
2.6
0.11
0.32
1.34
0.2
2.04
-0.42
-0.04
-0.78
-1.69
0.71
-1.31
-1.36
-1.27
-0.48
0.44
1.4
-0.8
-0.57
0.17
0.02

0.46
0.41
0.74
0.02
0.5
0.9
0.91
0.08
0.83
0.2
0.36
0.11
0.85
0.53
0.41
0.28
0.57
0.91
0.01
0.99
0.22
0.89
0.64
0.25
0.81
0.69
0.63
0.29
0.32
0.74
0.97
0.77
0.15
0.71
0.79
0.65
0.61
0.7
0.73
0.44
0.9
0.09
0.55
0.75
0.62
0.97
0.04
0.18
0.87
0.04
0.17
0.1
0.93
0.81

$2.13
$2.25
$2.51
$2.33
$2.20
$2.37
$2.32
$2.25
$2.55
$2.58
$2.75
$2.63
$2.60
$2.56
$2.72
$2.67
$2.86
$2.92
$3.11
$3.40
$3.33
$3.61
$3.64
$3.71
$3.60
$3.73
$4.05
$4.03
$3.68
$3.60
$3.68
$3.22
$3.04
$3.10
$2.89
$2.82
$2.82
$2.80
$2.86
$2.86
$3.16
$3.16
$3.27
$3.20
$3.40
$3.43
$3.54
$3.67
$3.45
$3.49
$3.58
$3.58
$3.57
$3.37

$1.57
$1.66
$1.85
$1.71
$1.62
$1.75
$1.70
$1.66
$1.88
$1.89
$2.02
$1.94
$1.91
$1.88
$2.00
$1.96
$2.10
$2.15
$2.29
$2.50
$2.45
$2.65
$2.67
$2.73
$2.64
$2.74
$2.98
$2.96
$2.70
$2.64
$2.71
$2.37
$2.24
$2.28
$2.12
$2.07
$2.07
$2.06
$2.11
$2.10
$2.33
$2.33
$2.40
$2.35
$2.50
$2.52
$2.61
$2.70
$2.54
$2.57
$2.63
$2.63
$2.62
$2.48

-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671
-$0.671

208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261

4.58
4.6
4.62
4.64
4.66
4.69
4.71
4.73
4.75
4.77
4.8
4.82
4.84
4.86
4.88
4.91
4.93
4.95
4.97
4.99
5.02
5.04
5.06
5.08
5.1
5.13
5.15
5.17
5.19
5.21
5.24
5.26
5.28
5.3
5.32
5.35
5.37
5.39
5.41
5.43
5.46
5.48
5.5
5.52
5.54
5.57
5.59
5.61
5.63
5.65
5.68
5.7
5.72
5.74

-0.64
0.15
0.03
0.24
-1.38
-1.44
1.51
1.54
1.4
-1.02
1.5
-0.09
0.78
1
-1.71
0.71
-0.92
0.06
2.03
-0.76
-0.57
-1.45
-0.49
-0.28
-0.28
2.1
-0.5
0.26
-0.62
1.14
-1.24
0.07
-0.17
0.3
-1.16
0.04
0.5
-1.58
-0.11
0.28
-0.8
-0.28
-1.44
2.51
-0.74
-1.18
0.69
-0.23
0.37
0.62
0.34
1.48
0.87
1.61

0.35
0.74
0.5
0.98
0.03
0.82
0.72
1
0.59
0.87
0.71
0.38
0.51
0.32
0.08
0.24
0.76
0.99
0.33
0.31
0.74
0.94
0.28
0.77
0.12
0.15
0.82
0.29
0.24
0.75
0.1
0.59
0.49
0.6
0.57
0.52
0.42
0.29
0.51
0.01
0.15
0.22
0.39
0.67
0.54
0.47
0.91
0.3
0.46
0.23
0.61
0.2
0.17
0.89

$3.11
$3.23
$3.46
$3.97
$3.75
$4.10
$4.01
$4.22
$4.64
$4.64
$4.58
$4.18
$4.39
$4.70
$4.71
$4.66
$4.56
$4.54
$4.86
$4.28
$4.49
$4.65
$4.70
$4.70
$4.65
$4.81
$4.23
$3.82
$3.59
$3.60
$3.44
$3.30
$3.15
$2.89
$2.77
$2.73
$2.35
$2.37
$2.24
$2.48
$2.13
$2.15
$1.88
$1.98
$1.96
$1.97
$1.88
$1.96
$2.15
$1.96
$2.04
$2.12
$2.22
$2.16

$2.28
$2.26
$2.31
$2.65
$2.50
$2.74
$2.68
$2.81
$3.10
$3.10
$3.06
$2.79
$2.93
$3.13
$3.14
$3.11
$3.04
$3.03
$3.24
$2.85
$2.99
$3.10
$3.14
$3.14
$3.11
$3.21
$2.82
$2.55
$2.40
$2.40
$2.29
$2.20
$2.10
$1.93
$1.85
$1.82
$1.57
$1.58
$1.50
$1.65
$1.42
$1.43
$1.26
$1.32
$1.31
$1.32
$1.25
$1.30
$1.43
$1.31
$1.36
$1.42
$1.48
$1.44

-$0.671
-$0.785
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898

262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315

5.76
5.79
5.81
5.83
5.85
5.87
5.9
5.92
5.94
5.96
5.98
6.01
6.03
6.05
6.07
6.09
6.12
6.14
6.16
6.18
6.2
6.23
6.25
6.27
6.29
6.31
6.34
6.36
6.38
6.4
6.42
6.45
6.47
6.49
6.51
6.53
6.56
6.58
6.6
6.62
6.64
6.67
6.69
6.71
6.73
6.75
6.78
6.8
6.82
6.84
6.86
6.89
6.91
6.93

-0.47
-0.85
1.46
0.32
0.83
-0.86
0
1.31
0.6
1.49
0.05
1.03
-0.13
-0.8
1.31
1.31
0.93
-1.18
-0.54
1.28
-1.22
0.06
-2.11
1.11
1.51
0.42
0.25
0.17
0.23
-0.23
0.04
1.35
0.26
-0.14
0.09
-0.25
0.36
-1.82
-0.51
-0.35
1.83
0.94
-0.8
-0.21
-1.76
-1.19
-0.47
1.09
-0.72
0.29
0.71
-0.39
-1.09
0.77

0.97
0.29
0.03
0.79
0.58
0.28
0.53
0.69
0.87
0.02
0.29
0.44
0.54
0.71
0.73
0.05
0.72
0.88
0.27
0.11
0.54
0.81
0.58
0.45
0.1
0.03
0.68
0.71
0.23
0.85
0.6
0.2
0.14
0.63
0.99
0.72
0.91
0.52
0.41
0.78
0.54
0.7
0.22
0.07
0.41
0.95
0.12
0.13
0.82
0.39
0.23
0.37
0.2
0.81

$2.06
$1.95
$2.18
$2.08
$2.00
$1.87
$1.93
$1.91
$1.87
$2.01
$2.02
$2.05
$1.97
$1.98
$1.84
$1.82
$1.82
$1.69
$1.85
$1.85
$1.99
$1.95
$2.19
$2.02
$1.85
$2.01
$1.89
$2.00
$2.06
$2.22
$2.07
$2.20
$2.02
$1.86
$1.67
$1.62
$1.55
$1.61
$1.67
$1.69
$1.72
$1.64
$1.52
$1.62
$1.68
$1.61
$1.55
$1.46
$1.42
$1.36
$1.39
$1.32
$1.33
$1.36

$1.37
$1.30
$1.46
$1.39
$1.33
$1.24
$1.29
$1.27
$1.25
$1.28
$1.29
$1.30
$1.26
$1.26
$1.17
$1.16
$1.16
$1.07
$1.18
$1.18
$1.27
$1.24
$1.39
$1.29
$1.18
$1.28
$1.21
$1.28
$1.31
$1.42
$1.32
$1.40
$1.28
$1.19
$1.06
$1.03
$0.99
$1.02
$1.06
$1.07
$1.09
$1.04
$0.97
$1.03
$1.07
$1.02
$0.99
$0.93
$0.91
$0.86
$0.88
$0.84
$0.85
$0.87

-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.898
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961
-$0.961

316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369

6.95
6.97
7
7.02
7.04
7.06
7.08
7.11
7.13
7.15
7.17
7.19
7.22
7.24
7.26
7.28
7.3
7.33
7.35
7.37
7.39
7.41
7.44
7.46
7.48
7.5
7.52
7.55
7.57
7.59
7.61
7.63
7.66
7.68
7.7
7.72
7.74
7.77
7.79
7.81
7.83
7.85
7.88
7.9
7.92
7.94
7.96
7.99
8.01
8.03
8.05
8.07
8.1
8.12

-0.79
-1.45
-0.15
0.9
0.36
-1.82
-0.76
-1.01
1.6
0.94
0.25
-0.05
-0.75
-0.71
0.04
0.08
0.26
-0.05
-0.36
0.9
1.27
-0.26
1.5
-0.78
-0.64
-0.95
0.96
-1.98
0.05
1.88
0.86
0.62
-1.72
-0.69
0.12
0.48
-0.58
0.74
1
-0.75
0.24
-0.15
0.54
0.93
0.47
-0.76
-0.37
-0.57
0.54
0.57
-1.28
0.26
-1.21
-1.83

0.81
0.3
0.84
0.49
0.01
0.07
0.34
0.61
0.27
0.48
0.24
0.26
0.2
0.15
0.78
0.61
0.93
0.32
0.31
0.16
0.39
0.72
0.1
0.52
0.84
0.92
0.91
0.08
0.29
0.11
0.89
0.1
0.41
0.73
0.6
0.42
0.81
0.94
0.03
0.08
0.42
0.28
0.34
0.62
0.43
0.12
0.24
0.36
0.45
0.55
0.52
0.84
0.27
0.62

$1.32
$1.35
$1.36
$1.35
$1.34
$1.26
$1.24
$1.25
$1.44
$1.42
$1.45
$1.29
$1.34
$1.41
$1.47
$1.45
$1.43
$1.40
$1.43
$1.42
$1.35
$1.32
$1.36
$1.35
$1.35
$1.50
$1.53
$1.42
$1.34
$1.26
$1.30
$1.30
$1.35
$1.30
$1.39
$1.31
$1.29
$1.23
$1.27
$1.25
$1.27
$1.23
$1.22
$1.19
$1.09
$1.03
$1.06
$1.05
$1.06
$1.03
$1.10
$1.14
$1.16
$1.17

$0.84
$0.81
$0.82
$0.82
$0.81
$0.77
$0.75
$0.75
$0.87
$0.86
$0.88
$0.78
$0.81
$0.85
$0.89
$0.88
$0.86
$0.85
$0.86
$0.86
$0.82
$0.80
$0.82
$0.82
$0.81
$0.91
$0.93
$0.86
$0.81
$0.76
$0.79
$0.79
$0.82
$0.79
$0.84
$0.79
$0.78
$0.74
$0.77
$0.76
$0.77
$0.75
$0.74
$0.72
$0.66
$0.62
$0.64
$0.64
$0.64
$0.62
$0.67
$0.69
$0.70
$0.71

-$0.961
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003

370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423

8.14
8.16
8.18
8.21
8.23
8.25
8.27
8.29
8.32
8.34
8.36
8.38
8.4
8.43
8.45
8.47
8.49
8.51
8.54
8.56
8.58
8.6
8.62
8.65
8.67
8.69
8.71
8.73
8.76
8.78
8.8
8.82
8.84
8.87
8.89
8.91
8.93
8.95
8.98
9
9.02
9.04
9.06
9.09
9.11
9.13
9.15
9.17
9.2
9.22
9.24
9.26
9.28
9.31

0.91
-0.32
-0.83
0.38
-0.26
0.59
0.3
-0.84
-0.11
0.42
-0.13
-2.75
-0.4
0.61
0.75
-0.89
1.68
-0.33
0.33
0.41
-0.86
-0.5
1.19
0.13
0.24
0.22
-0.63
0.51
-0.89
-0.31
0.61
-2.52
0.68
1.49
0.4
-1.04
0.4
-0.6
-0.38
-1.23
1.53
0.84
-1.22
-0.57
0.07
1.2
-0.07
-0.05
-0.66
-1.28
-1.08
-0.13
-0.23
-2.01

0.36
0.11
0.54
0.27
0.19
0.84
0.38
0.08
0.94
0.79
0.81
0.54
0.21
0.62
0.47
0.24
0.7
0.89
0.52
0.04
0.51
0.95
0.17
0.75
0.31
0.61
0.3
0.83
0.45
0.57
0.45
0.81
0.68
0.99
0.08
0.87
0.83
0.46
0.94
0.77
0.25
0.76
0.3
0.45
0.37
0.78
0.7
0.07
0.67
0.21
0.12
0.18
0.16
0.29

$1.10
$0.98
$0.99
$1.03
$0.96
$0.99
$1.07
$1.13
$1.06
$1.08
$0.98
$1.10
$1.15
$1.15
$1.09
$1.08
$1.15
$1.20
$1.24
$1.20
$1.08
$1.13
$1.12
$1.17
$1.11
$1.21
$1.05
$0.96
$0.98
$0.99
$1.01
$1.06
$1.08
$1.00
$1.00
$1.05
$1.10
$1.08
$1.10
$1.18
$1.35
$1.38
$1.47
$1.54
$1.41
$1.24
$1.18
$1.28
$1.35
$1.44
$1.36
$1.45
$1.48
$1.50

$0.66
$0.59
$0.60
$0.62
$0.58
$0.60
$0.65
$0.69
$0.64
$0.65
$0.59
$0.66
$0.70
$0.69
$0.66
$0.65
$0.69
$0.73
$0.75
$0.72
$0.66
$0.68
$0.68
$0.71
$0.67
$0.73
$0.64
$0.58
$0.59
$0.60
$0.61
$0.64
$0.65
$0.61
$0.61
$0.63
$0.67
$0.65
$0.66
$0.71
$0.81
$0.83
$0.89
$0.93
$0.85
$0.75
$0.71
$0.74
$0.74
$0.79
$0.75
$0.80
$0.81
$0.83

-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.003
-$1.039
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076

424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477

9.33
9.35
9.37
9.39
9.42
9.44
9.46
9.48
9.5
9.53
9.55
9.57
9.59
9.61
9.64
9.66
9.68
9.7
9.72
9.75
9.77
9.79
9.81
9.83
9.86
9.88
9.9
9.92
9.94
9.97
9.99
10.01
10.03
10.05
10.08
10.1
10.12
10.14
10.16
10.19
10.21
10.23
10.25
10.27
10.3
10.32
10.34
10.36
10.38
10.41
10.43
10.45
10.47
10.49

3.02
-2.63
0.28
-0.63
0.52
0.83
0.36
-0.18
0.85
-0.27
-0.36
-0.11
0.11
-2.23
0.62
1.25
-1.17
0.44
0.5
-0.73
1.68
-0.77
-1.18
-0.19
0.52
-0.32
0.06
0.99
0.92
1.51
1.09
0.92
1.55
-0.07
-1.38
0.35
-0.62
0.6
-1.52
-1.48
-1.19
-0.19
0.07
0.41
-0.16
-0.64
0.14
0.15
1.47
-0.69
0.81
1.19
-0.09
1.33

0.93
0.47
0.9
0.23
0.3
0.36
0.8
0.74
0.17
0.48
0.74
0.25
0.34
0.56
0.71
0.29
0.33
0.95
0.04
0.63
0.41
0.42
0.41
0.1
0.49
0.08
0.32
0.61
0.26
0.47
0.9
0.19
0.94
0.8
0.43
0.24
0.15
0.22
0.98
0.32
0.7
0.72
0.57
0.05
0.28
0.28
0.34
0.61
0.23
0.38
0.24
0.64
0.8
0.65

$1.52
$1.60
$1.61
$1.64
$1.74
$1.63
$1.54
$1.53
$1.64
$1.72
$1.73
$1.70
$1.72
$1.67
$1.73
$1.62
$1.53
$1.59
$1.66
$1.47
$1.46
$1.55
$1.40
$1.43
$1.49
$1.58
$1.58
$1.71
$1.76
$1.62
$1.63
$1.56
$1.67
$1.49
$1.57
$1.62
$1.53
$1.68
$1.57
$1.39
$1.45
$1.49
$1.46
$1.42
$1.55
$1.43
$1.41
$1.31
$1.37
$1.29
$1.21
$1.16
$1.28
$1.21

$0.84
$0.88
$0.89
$0.90
$0.95
$0.89
$0.85
$0.84
$0.90
$0.95
$0.95
$0.94
$0.94
$0.92
$0.95
$0.89
$0.84
$0.87
$0.91
$0.81
$0.76
$0.81
$0.73
$0.75
$0.78
$0.82
$0.82
$0.89
$0.92
$0.85
$0.85
$0.82
$0.87
$0.78
$0.82
$0.84
$0.80
$0.88
$0.82
$0.73
$0.76
$0.78
$0.76
$0.74
$0.81
$0.75
$0.74
$0.68
$0.72
$0.67
$0.63
$0.61
$0.67
$0.63

-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.076
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116

478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500

10.52
10.54
10.56
10.58
10.6
10.63
10.65
10.67
10.69
10.71
10.74
10.76
10.78
10.8
10.82
10.85
10.87
10.89
10.91
10.93
10.96
10.98
11

-0.5
-0.97
-0.58
0.96
-2.62
-1.26
0.73
1.11
1.44
0.54
-0.42
-2.36
-0.4
0.26
0.63
-0.23
0.45
1.04
0.96
-0.85
0.03
-0.62
1.32

0.74
0.29
0.73
0.05
0.9
0.99
0.53
0.79
0.18
0.47
0.59
0.61
0.71
0.74
0.83
0.69
0.06
0.53
0.41
0.63
0.58
0.7
0.92

$1.29
$1.33
$1.51
$1.48
$1.51
$1.55
$1.54
$1.43
$1.52
$1.48
$1.39
$1.42
$1.58
$1.53
$1.56
$1.43
$1.40
$1.36
$1.41
$1.46
$1.49
$1.52
$1.60

$0.67
$0.70
$0.79
$0.77
$0.79
$0.81
$0.80
$0.75
$0.79
$0.77
$0.72
$0.74
$0.82
$0.80
$0.81
$0.75
$0.73
$0.71
$0.74
$0.76
$0.78
$0.80
$0.84

-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116
-$1.116

LOGNORMALLY DISTRIBUTED JUMP SIZE
Brownian motion with stochastic jumps (ln J normally distributed)
Normal Variates
0
$2.00
-0.51
$2.13
$0.7350
-0.05
-1.1
$2.28
$2.3604
-0.53
$1.99
$0.5539
0.13
$1.82
$0.6783
0.74
$1.74
$0.5637
-1.3
$1.80
$1.7276
-0.83
$1.88
$0.9544
0.02
$2.72
$0.64
0.6781
-0.29
$2.78
$0.64
0.2969
1.5
$2.71
$0.64
0.8339
0.16
$2.65
$0.64
0.8669
-0.57
$1.81
-$0.03
2.2124
1.42
$1.77
-$0.03
1.0103
-1.33
$1.68
-$0.03
0.2566
-1.41
$1.69
-$0.03
1.6394
-1.27
$1.63
-$0.03
1.5797
0.16
$1.42
-$0.03
1.1139
0.44
$1.33
-$0.03
0.7494
0.55
$1.33
-$0.03
0.9864
-0.6
$1.40
-$0.03
0.6641
-0.23
$1.47
-$0.03
1.2210
0.1
$1.59
-$0.03
0.5036
1.85
$1.38
-$0.03
0.8925
-0.07
$1.44
-$0.03
3.1044
-1.46
$1.54
-$0.03
0.8512
-0.3
$2.39
$0.94
0.6871
e Paths with -1.27
Jump Term
$2.36
$0.94
0.7151
mp Size)
0.39
$2.58
$0.94
1.3865
-1.43
$2.87
$0.94
0.5750
-2.38
$2.82
$0.94
0.9015
0.17
$2.82
$0.94
0.7986
-0.3
$2.98
$0.94
1.0714
-1.06
$2.86
$0.94
0.8631
1.1
$2.87
$0.94
0.9555
1.5
$3.08
$0.94
1.5792
1.37
$3.06
$0.94
1.0404
Pure Brownian 1.75 Brownian
Jump
$2.91 motion
$0.94
0.8248
Motion
fixed jumps
-1.09 with$2.98
$0.94
0.7824
-0.19
$2.94
$0.94
1.5078
-0.4
$3.09
$0.94
0.8356
-1.48
$3.40
$0.94
1.3230
2.18
$3.52
$0.94
0.6776
0.34
$3.84
$0.94
0.7870
2.4
$3.72
$0.94
0.7257
-1.43
$3.99
$0.94
0.6823

0.55
-1.31
0.36
-0.31
0.85
1.36
0.81
-0.4
1.18
-0.64
-0.21
-0.64
-0.35
-1.5
-0.42
-0.32
0.34
0.58
0.04
-0.01
0.4
-0.17
-0.11
0.81
1.05
0.86
1.08
0.99
-0.16
1.05
1.38
-1.06
1.62
0.14
0.06
0.68
-0.08
-0.48
-1.32
-0.39
0.19
0.02
0.27
1.57
0.19
1.6
-0.48
-0.81
0.43
0.96
0.54
-0.47
-0.63
-0.98

$3.98
$4.01
$4.31
$4.38
$5.05
$5.20
$5.12
$5.53
$5.71
$5.32
$5.56
$5.82
$5.85
$5.80
$6.03
$6.46
$6.12
$6.17
$5.73
$5.90
$5.83
$5.89
$6.23
$5.51
$6.01
$6.15
$6.86
$7.03
$7.11
$6.86
$6.89
$6.00
$6.29
$6.20
$6.32
$6.62
$6.01
$6.65
$6.84
$7.13
$6.53
$6.48
$6.50
$6.60
$6.15
$5.90
$5.88
$5.70
$5.96
$6.02
$6.62
$6.23
$5.73
$6.02

$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.94
$0.69
$0.69
$0.69
$0.69
$0.69
$0.69
$0.69
$0.69
$0.69
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65

0.6410
0.5542
1.7047
0.9906
1.1845
0.5225
0.6517
1.3806
1.0326
0.6420
0.6076
1.5151
0.9518
2.2923
2.7226
2.2771
0.7574
1.0474
0.8194
1.5301
0.8617
2.2282
0.6441
1.3783
1.3933
1.1028
0.9714
0.3646
2.4431
1.4814
0.7117
0.6083
2.1995
0.5786
1.2707
1.1125
0.7062
2.1133
0.8333
1.5710
0.5798
1.0540
1.1797
1.1726
1.0030
1.1517
1.1111
1.6623
0.6537
0.2759
1.2316
1.1519
2.3154
1.8971

-1.23
-1.19
1.86
1.89
1.71
-0.24
0.93
1.14
0.12
0.74
-0.18
-1.45
0.05
1.25
-0.29
0.29
-0.7
1.79
-1.15
1.03
1.31
0.53
0.82
-0.77
1.34
-0.1
-1.63
0.3
0.77
-0.48
0.78
1.22
-0.17
0.68
1.08
-0.28
-1.02
0.48
-0.64
0.53
-0.12
0.49
0.76
1.96
0.21
-0.98
0.23
0.92
-1.15
0.57
0.44
-1.87
-0.21
-0.09

$5.71
$4.67
$4.63
$4.35
$4.46
$4.96
$4.90
$4.60
$5.17
$4.89
$4.92
$4.99
$5.44
$5.51
$5.56
$5.66
$5.51
$5.61
$4.82
$5.08
$4.81
$4.49
$4.00
$4.08
$4.03
$4.23
$3.98
$3.91
$4.26
$4.08
$3.83
$3.55
$3.40
$3.44
$3.30
$3.52
$3.55
$3.63
$4.09
$4.10
$4.31
$4.32
$3.96
$4.10
$3.74
$3.80
$3.96
$3.89
$3.70
$3.60
$3.41
$3.34
$3.32
$3.16

$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.65
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91

0.8606
1.3120
0.9914
2.0621
1.3711
0.9554
1.3359
0.4179
1.2187
1.2451
0.6357
0.8483
0.7621
0.9352
0.7894
1.2834
0.7627
0.9707
0.7399
3.9282
0.6015
1.6014
1.1482
1.4557
1.2719
1.6884
1.4736
0.8571
0.9802
1.3805
0.7679
2.1280
0.9660
1.6652
1.7361
0.7118
0.8087
1.1340
0.7646
0.4447
0.7773
1.0027
0.9206
1.1900
0.3721
1.5321
0.8371
0.7948
0.7810
1.2504
0.7924
0.9839
1.0252
0.2708

-0.67
-0.45
1.44
-0.52
1.59
0.54
0.3
0.6
0.24
-1.65
-0.06
-0.11
-0.15
0.33
-1.09
0.52
-0.43
0.23
-0.29
-1.24
0.17
1.87
-0.61
-1
0.81
-0.26
1.14
-0.09
-0.18
-0.55
1.46
0.46
0.3
1.05
2.06
0.15
0.15
0.25
-0.56
-1.02
0.38
0.72
0.28
-1.36
-0.27
0.66
0.79
0.6
-0.41
-0.94
0.97
1.32
-1.07
-1.26

$3.49
$3.69
$4.11
$3.81
$3.61
$3.89
$3.80
$3.69
$4.18
$4.22
$4.50
$4.31
$4.25
$4.19
$4.45
$4.38
$4.68
$4.79
$5.10
$5.58
$5.45
$5.91
$5.96
$6.09
$5.89
$6.11
$6.63
$6.60
$6.02
$5.89
$6.03
$5.28
$4.98
$5.07
$4.73
$4.61
$4.62
$4.59
$4.69
$4.69
$5.18
$5.18
$5.35
$5.24
$5.57
$5.61
$5.81
$6.02
$5.66
$5.72
$5.87
$5.86
$5.85
$5.53

$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91
$0.91

0.7638
0.7107
1.7137
0.5551
1.2336
0.8434
1.8800
0.3827
0.7863
0.8668
1.8224
0.6659
1.2512
0.7071
1.6970
0.3986
0.7750
0.6470
1.0566
1.4923
1.7781
1.0990
1.1476
0.7258
2.5372
3.4285
0.2504
0.7663
0.9776
1.0302
0.7726
1.6093
1.5789
0.6465
3.4891
1.0046
1.1165
1.8530
1.0496
2.6317
0.7693
0.9296
0.6434
0.4083
1.3526
0.4932
0.4811
0.5034
0.7478
1.1853
1.9103
0.6360
0.7157
1.0324

-1.52
1.51
0
1.54
-0.26
1.46
-0.75
-0.45
0.27
1.01
-0.92
0.22
-0.24
0.64
-0.9
0.5
1.24
0.96
-0.11
0
1.39
1.03
-0.68
0.54
0.19
0.22
1.16
-0.23
-0.02
-2.05
0.04
0.15
1.69
-2.15
-0.01
-0.38
1.58
0.59
0.46
0.12
0.17
1.06
-1.1
1.91
0.24
-0.47
0.42
-0.03
-1.04
-1.18
2.26
-1.5
1.87
-0.72

$5.09
$2.59
$3.51
$4.02
$3.81
$4.16
$4.07
$4.28
$4.71
$4.71
$4.64
$4.24
$4.45
$4.76
$4.77
$4.72
$4.62
$4.60
$4.93
$4.34
$4.55
$4.72
$4.77
$4.77
$4.72
$4.88
$4.29
$3.87
$3.65
$3.65
$3.48
$3.34
$3.19
$2.93
$2.81
$2.77
$2.38
$2.41
$2.27
$2.51
$2.16
$2.18
$1.91
$2.01
$1.99
$2.00
$1.90
$1.98
$2.18
$1.98
$2.07
$2.15
$2.25
$2.19

$0.91
-$1.80
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06

0.9575
0.6896
1.0257
0.9621
1.0707
0.4764
0.4616
2.0193
2.0486
1.9156
0.5717
2.0112
0.9082
1.4013
1.5699
0.4030
1.3541
0.5999
0.9814
2.6166
0.6507
0.7162
0.4601
0.7428
0.8240
0.8258
2.7201
0.7381
1.0793
0.6971
1.6799
0.5103
0.9849
0.8740
1.1025
0.5322
0.9711
1.2199
0.4320
0.8982
1.0940
0.6374
0.8247
0.4630
3.3344
0.6577
0.5259
1.3411
0.8478
1.1432
1.2973
1.1283
1.9899
1.4652

0.74
0.11
0.93
0.38
1.7
-0.48
0.44
-0.07
1.15
0.31
-0.03
-0.33
1.95
-0.18
-1.31
0.39
2.02
0.42
0.02
-1.21
0.34
-1.27
-0.17
-0.53
0.23
0.2
-0.21
0.2
0.38
-0.29
0.89
-0.2
1.49
0.35
-1.49
1.22
1.67
0.63
-0.36
0.94
-0.36
1.02
-0.85
-0.43
-0.6
-0.55
2.16
-0.66
1.69
-0.02
-0.34
0.22
0.24
0.83

$2.09
$1.98
$2.21
$2.11
$2.02
$1.89
$1.95
$1.94
$1.90
$1.62
$1.62
$1.65
$1.59
$1.59
$1.48
$1.46
$1.46
$1.36
$1.48
$1.49
$1.60
$1.57
$1.76
$1.62
$1.49
$1.62
$1.52
$1.61
$1.65
$1.79
$1.67
$1.77
$1.62
$1.50
$1.34
$1.30
$1.24
$1.29
$1.34
$1.35
$1.38
$1.32
$1.23
$1.31
$1.35
$1.29
$1.24
$1.18
$1.15
$1.09
$1.12
$1.06
$1.07
$1.10

-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.06
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49
-$1.49

2.1210
0.7502
0.6198
1.9739
1.1144
1.4401
0.6193
0.9477
1.8254
1.2807
2.0013
0.9757
1.5888
0.8915
0.6378
1.8330
1.8286
1.5127
0.5254
0.7240
1.7988
0.5173
0.9796
0.3316
1.6561
2.0215
1.1708
1.0786
1.0364
1.0678
0.8447
0.9680
1.8620
1.0835
0.8845
0.9940
0.8380
1.1354
0.3818
0.7364
0.7985
2.3670
1.5204
0.6373
0.8539
0.3943
0.5252
0.7523
1.6423
0.6631
1.0979
1.3576
0.7816
0.5514

1.21
-0.9
-0.31
-0.51
0.71
-1.93
0.5
0.19
-0.13
0.32
-0.8
0.04
0.03
-0.98
-0.67
1.13
2.36
0.28
0.57
-0.88
1.59
2.34
-0.05
1.46
-0.69
-0.16
-0.2
0.28
-1.98
-2.19
-0.23
1.35
-0.85
0.79
-0.79
1.75
0.89
1.33
0.09
-0.65
0.08
0.66
0.75
-1.71
1.34
-1.97
1.37
1.29
0.34
0.33
-1.34
0.2
0.31
0.18

$1.06
$0.77
$0.78
$0.78
$0.77
$0.73
$0.71
$0.72
$0.83
$0.82
$0.83
$0.74
$0.77
$0.81
$0.85
$0.84
$0.82
$0.80
$0.82
$0.82
$0.78
$0.76
$0.78
$0.78
$0.77
$0.86
$0.88
$0.81
$0.77
$0.72
$0.75
$0.75
$0.78
$0.75
$0.80
$0.75
$0.74
$0.71
$0.73
$0.72
$0.73
$0.71
$0.70
$0.68
$0.63
$0.59
$0.61
$0.61
$0.61
$0.59
$0.63
$0.66
$0.67
$0.67

-$1.49
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79
-$1.79

1.3977
0.6402
0.4590
0.8832
1.4878
1.1394
0.3826
0.6483
0.5741
2.1151
1.5190
1.0784
0.9280
0.6534
0.6667
0.9686
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0.7929
1.4896
1.7883
0.8349
2.0158
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0.6901
0.5894
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0.3525
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1.0736
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1.2016
0.6483
0.7899
0.7144
1.2418
1.2617
0.5007
1.0797
0.5185

0.02
1.1
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1.45
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1.56
1.18
1.56
-1.08
0.43
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0.34
0.64
0.24
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0.1
0.14
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0.68
0.87
1.05
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0.44
1.07
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1.22
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0.95
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2.2
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2.8
1.37
0.38
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0.44
1.84

$0.63
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$0.68
$0.77
$0.79
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$0.81
$0.72
$0.68
$0.46
$0.90
$0.96
$0.91
$0.97
$0.99
$1.01

-$1.79
-$1.79
-$1.79
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-$1.79
-$2.07
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0.3813
1.4971
0.8093
0.6279
1.1515
0.8348
1.2748
1.1060
0.6256
0.8975
1.1707
0.8893
0.2398
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1.2861
1.3825
0.6099
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0.8049
1.1201
1.1677
0.6167
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1.0595
0.6935
1.2248
0.6096
0.8128
1.2872
0.2698
1.3348
2.0024
1.1608
0.5655
1.1579
0.7047
0.7851
0.5126
2.0421
1.4443
0.5166
0.7134
0.9823
1.7316
0.9162
0.9263
0.6836
0.5008
0.5535
0.8910
0.8479

1.01
1.08
-1.08
-1.9
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1.23
0.98
2.55
-1.04
0.02
1.05
-0.43
0.39
0.65
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0.47
0.18
0.59
-0.32
0.14
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0.13
0.27
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1.25
0.1
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1.09
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2.3
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2.03
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0.58
0.95
-1.33
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0.12
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1.02
0.34
-2.08
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$1.02
$1.07
$1.08
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$1.16
$1.09
$1.03
$1.02
$1.09
$1.15
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$1.14
$1.15
$1.12
$1.16
$1.08
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$1.06
$1.11
$0.98
$0.34
$0.36
$0.33
$0.34
$0.35
$0.37
$0.37
$0.40
$0.41
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$0.38
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$0.39
$0.35
$0.37
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$0.40
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$0.33
$0.34
$0.35
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$0.33
$0.36
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$0.33
$0.31
$0.32
$0.30
$0.28
$0.27
$0.30
$0.28

-$1.65
-$1.65
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-$2.29
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-$2.29
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0.3484
4.3029
0.2550
1.0907
0.6922
1.2323
1.4374
1.1377
0.8664
1.4526
0.8290
0.7930
0.9010
1.0019
0.3111
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1.7723
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0.6598
2.1996
0.6450
0.5253
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1.2335
0.8082
0.9799
1.5594
1.5077
2.0236
1.6365
1.5040
2.0588
0.9154
0.4772
1.1329
0.6957
1.2810
0.4448
0.4521
0.5248
0.8626
0.9822
1.1676
0.8768
0.6882
1.0165
1.0215
1.9839
0.6744
1.4234
1.7226
0.9103

0.57
-0.04
0.54
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-0.3
-0.68
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-0.7
0.34
-0.55
-0.69
-1.69
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0.13
-0.93
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0.07
0.12
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$0.30
$0.31
$0.35
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$0.36
$0.36
$0.34
$0.36
$0.35
$0.33
$0.33
$0.37
$0.36
$0.37
$0.33
$0.33
$0.32
$0.33
$0.34
$0.35
$0.36
$0.38

-$2.29
-$2.29
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-$2.29
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1.8497
0.7388
0.5840
0.7118
1.5377
0.2566
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1.3679
1.6531
1.9511
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1.2990
0.8460
1.1869
1.6018
1.5362
0.6220
0.9644
0.6972

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