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Problem 4.1 (14.16 in Hull) Assume that the stock price S follows the geometric Brownian motion pro- cess (1) dSt = dt +dz St
Problem 4.1 (14.16 in Hull) Assume that the stock price S follows the geometric Brownian motion pro- cess (1) dSt = dt +dz St where is a Wiener process (standard Brownian motion). What is the process followed by: (a) y = 25 (b) y = S (c) y = sin(z) (d) y = er(T-t)
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Market Practice In Financial Modelling
Authors: Tan Chia Chiang
1st Edition
9814366544, 978-9814366540
