Exercise 13.3.8 Assume that the stock price follows the geometric Brownian motion process S(t) eX(t), where
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Exercise 13.3.8 Assume that the stock price follows the geometric Brownian motion process S(t) ≡ eX(t), where { X(t), t ≥ 0 } is a (μ, σ) Brownian motion. (1) Show that the stock price is growing at a rate of μ+σ2/2 (not μ!) on the average if by this
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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