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arithmetic Brownian motion
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options price formula
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risk-neutral valuation
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Options Pricing with
Arithmetic
Brownian Motion and its Implication for Risk-Neutral Valuation
Liu, Qiang
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EconWPA
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2005
geometric Brownian motion (GBM) process, fails to work when the underlying price follows the
arithmetic
Brownian motion (ABM …
Persistent link: https://www.econbiz.de/10005076948
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