Consider whether markets are efficient in each of the following two cases: (a) a stock price follows

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Consider whether markets are efficient in each of the following two cases: (a) a stock price follows fractional Brownian motion and (b) a stock price volatility follows fractional Brownian motion.

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Options Futures And Other Derivatives

ISBN: 9781292410654

11th Global Edition

Authors: John Hull

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Question Posted: Mar 23, 2024 12:00 AM

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Consider whether markets are efficient in each of the following two cases: (a) a stock price follows

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In both cases of fractional Brownian motion fBm the efficiency of markets can be evaluated differently a Stock Price Follows Fractional Brownian Motio...View the full answer

Options Futures And Other Derivatives

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