Exercise 13.3.8 Assume that the stock price follows the geometric Brownian motion process S(t) eX(t), where

Question:

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

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Question Posted: