Explain why expression (11.14) is the continuous-time version of expression (11.13), and find the Black-Scholes formula for

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Explain why expression (11.14) is the continuous-time version of expression (11.13), and find the Black-Scholes formula for the call option on the continuous geometric mean (11.14).

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Organic Chemistry

ISBN: 9788120307209

6th Edition

Authors: Robert Thornton Morrison, Robert Neilson Boyd

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Question Posted: Jun 29, 2016 12:59 AM

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Explain why expression (11.14) is the continuous-time version of expression (11.13), and find the Black-Scholes formula for

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Denoting the geometric mean by G We have For large n this is approximate...View the full answer

Organic Chemistry

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