A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift

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A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift rate of 0.1 per month and a variance rate of 0.16 per month. The initial cash position is 2.0.

(a) What are the probability distributions of the cash position after one month, six months, and one year?

(b) What are the probabilities of a negative cash position at the end of six months and one year?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 11:14 AM

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A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift

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a The probability distributions are b The chance of a random sample from being ne...View the full answer

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