Assume that the log price pt ln(Pt) follows a stochastic differential equation dpt dt dwt, where wt is a Wiener process Derive the stochastic equation for the price pt ...

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Assume that the log price pt = ln(Pt) follows a stochastic differential equation dpt = dt

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Assume that the log price pt = ln(Pt) follows a stochastic differential equation dpt = γ dt + σ dwt, where wt is a Wiener process. Derive the stochastic equation for the price pt.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Assume that the log price pt = ln(Pt) follows a stochastic differential equation dpt = dt

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Analysis Of Financial Time Series

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