Suppose that G is a function of a stock price, S, and time. Suppose that as and

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Suppose that G is a function of a stock price, S, and time. Suppose that as and aG are the volatilities of S and G. Show that when the expected return of S increases by kas, the growth rate of G increases by Xac, where A. is a constant.

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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 G is a function of a stock price, S, and time. Suppose that as and

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