9. (Two simulations o) A useful expansion is * = 1+x+x+ Use this to express the exponential...

Question:

9. (Two simulations o) A useful expansion is * = 1+x+x+ Use this to express the exponential in equation (11 20) in linear terms of powers of Ar up to first order Note that this differs from the expression in (11.19), so conclude that the standard form and the multiplicative (or lognormal) form of simulation are different even to first order Show, however, that the expected values of the two expressions are identical to first order, and hence, over the long run the two methods should produce similar results

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

Question Posted: