Exercise 12.5 In Example 12.1, show that the infinitesimal variance of the geometric Brownian motion conditional on
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Exercise 12.5 In Example 12.1, show that the infinitesimal variance of the geometric Brownian motion conditional on S(t) = x is given by (12.9).
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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