Table 2.
Geometric Brownian motion parameter values
| Parameter | Symbol | Value |
|---|---|---|
| Drift rate | 0.05 | |
| Standard deviation | 0.1 | |
| Current level of GBM | L | 0.68 |
| Maximum level of GBM | 0.7 | |
| Variance of normal cdf | 0.01 | |
| Average of normal cdf | 0.8 |
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