Exercise 14.4.1 Argue that an investor who has information about the entire future value of the Brownian
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Exercise 14.4.1 Argue that an investor who has information about the entire future value of the Brownian motion’s driving the stock price will have infinite wealth at any given horizon date. In other words, market fluctuations can be exploited.
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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