5. (Gold correlation) Suppose that in the double stochastic Simplico gold mine example the real probability of

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5. (Gold correlation) Suppose that in the double stochastic Simplico gold mine example the real probability of an up move in gold is 6 and the real probability of an up move in the short rate is 7. Suppose also that gold price and short rate fluctuations have a correlation coefficient of 4 Find the appropriate qij's

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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