Exercise 14.3.2 Let X follow the geometricBrownian motion process dX/X= dt + dW. Show that R ln

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Exercise 14.3.2 Let X follow the geometricBrownian motion process dX/X=

μdt +σ dW. Show that R≡ ln X+σ2t/2 follows dR= μdt +σ dW.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 14.3.2 Let X follow the geometricBrownian motion process dX/X= dt + dW. Show that R ln

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Financial Engineering And Computation Principles Mathematics Algorithms

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