A companys cash position follows arithmetic Brownian motion with = 2 per quarter. With an initial
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Question:
A company’s cash position follows arithmetic Brownian motion with σ = 2 per quarter. With an initial cash position of 2.28 at the beginning of a year, the company has a 14.23% probability of being in a negative cash position at the end of the year. Determine the drift of the Brownian motion.
Related Book For
Managerial Accounting
ISBN: 9780073526706
12th Edition
Authors: Ray H. Garrison, Eric W. Noreen, Peter C. Brewer
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