4.6. What is the probability that a geometric Brownian motion with drift parameter a = 0 ever...

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4.6. What is the probability that a geometric Brownian motion with drift parameter a = 0 ever rises to more than twice its initial value? (You buy stock whose fluctuations are described by a geometric Brownian motion with a = 0. What are your chances to double your money?)

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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