Suppose that a stock price, S, follows geometric Brownian motion with expected return /J, and volatility a:

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dS = [MSdt + aSdz What is the process followed by the variable 5"? Show that 5" also follows geometric Brownian motion.

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:02 AM

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Suppose that a stock price, S, follows geometric Brownian motion with expected return /J, and volatility a: dS = [MSdt + aSdz What is the process followed by the variable 5"? Show that 5" also...
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Suppose that a stock price, S, follows geometric Brownian motion with expected return /J, and volatility a:

Question:

Step by Step Answer:

Options Futures And Other Derivatives

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