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Assume an asset price St follows the geometric Brownian motion, dSt = µStdt + σStdWt, where µ and σ are constants and r is the risk-free rate.
1. Using the Ito's Lemma find the stochastic differential equation satisfied by the process Xt = Stn , where n is a constant.
2. Compute E[Xt] and Var[Xt].
3. Using the Ito's Lemma find the stochastic differential equation satisfied by the process Yt = Stert .
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Use the CF function and solve for NPV to get the answer. Just enter the number up to 2 decimal points. Do not enter $ in the answer box.
The probability of either a booming economy or a recessionary economy is 5 percent each. What is the standard deviation of these expected returns?
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give two reasons stockholders might be indifferent between owning the stock of a firm with volatile cash flows and
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