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Consider the Bachelier model, where the safe asset is constant, St = 1, te [0, T], and the risky asset follows Brownian motion with drift:
Consider the Bachelier model, where the safe asset is constant, St = 1, te [0, T], and the risky asset follows Brownian motion with drift: S, = So + ut + 0Wt, te [0, T]. Here (Wt )tejo,r) is a standar...
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Principles of Finance
Authors: Scott Besley, Eugene F. Brigham
5th edition
1111527369, 978-1111527365
