The time-t price of a stock is S(t). You are given: (i) S(t) follows geometric Brownian motion. (ii) S(0)=1.2 (iii) Pr(S

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The time-t price of a stock is S(t). You are given: (i) S(t) follows geometric Brownian motion. (ii) S(0)=1.2 (iii) Pr(S

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The Time T Price Of A Stock Is S T You Are Given I S T Follows Geometric Brownian Motion Ii S 0 1 2 Iii Pr S 1
The Time T Price Of A Stock Is S T You Are Given I S T Follows Geometric Brownian Motion Ii S 0 1 2 Iii Pr S 1 (27.13 KiB) Viewed 17 times
The time-t price of a stock is S(t). You are given: (i) S(t) follows geometric Brownian motion. (ii) S(0)=1.2 (iii) Pr(S(1)>1.2)=0.60642 (iv) Pr(S(2) >1.44) = 0.34827 Determine Var (S(1)).
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