Suppose X = (Xt)is a geometric Brownian motion, dXt = Xt dt + Xt dzt. What is

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Suppose X = (Xt)is a geometric Brownian motion, dXt = μXt dt + σXt dzt.

What is the dynamics of the process y = (yt) defined by yt = (Xt)n?What can you say about the distribution of future values of the y process?

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Financial Asset Pricing Theory

ISBN: 9780198716457

1st Edition

Authors: Claus MUNK

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Question Posted: Jul 20, 2024 09:00 AM

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Suppose X = (Xt)is a geometric Brownian motion, dXt = Xt dt + Xt dzt. What is

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Financial Asset Pricing Theory

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