6. (Expectations) A stock price is governed by geometric Brownian motion with 4 = .20 and =...

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6. (Expectations) A stock price is governed by geometric Brownian motion with 4 = .20 and = 40 The initial price is S(0) = 1 Evaluate the four quantities E[In S(1)], E[S(1)], stdev[In S(1)] stdev[S(1)]

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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Question Posted: Jul 29, 2024 07:09 AM

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6. (Expectations) A stock price is governed by geometric Brownian motion with 4 = .20 and =...

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Investment Science

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