Explain in detail how you would simulate a geometric random walk when the volatility is assumed to
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Explain in detail how you would simulate a geometric random walk when the volatility is assumed to follow a mean-reverting process.
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To simulate a geometric random walk with meanreverting volatility we can use a stochastic differenti...View the full answer
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Related Book For 
The Theory And Practice Of Investment Management
ISBN: 9780470929902
2nd Edition
Authors: Frank J Fabozzi, Harry M Markowitz
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