Exercise 14.4.7 Show that the simple rate of return [ S(t)/S(0) ]1 has mean et 1 and
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Exercise 14.4.7 Show that the simple rate of return [ S(t)/S(0) ]−1 has mean eμt −1 and variance e2μt (eσ2t −1).
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Related Book For
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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