Drift

Tags: quantitative-finance

The drift \(\mu\) is the expected return of an asset.

\[ \mu = \frac{1}{M \delta t} \sum_{i=1}^{M} R_{i} \]

Symbol Description
\(M\) Number of time steps
\(\delta t\) Size of time step
\(R_{i}\) Return at time step \(i\)