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Shortcomings of generalized Brownian motion for asset price modelling
I'm simply interested on hearing some views on which shortcomings arise by using the (multidimensional) SDE $$dS(t)=S(t)\alpha(t,S(t))dt+S(t)\sigma(t,S(t))dW(t)$$ as a model for asset prices. I know ...
Nov 26 '13 at 15:03
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