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Results tagged with black-scholes
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user 62905
Black-Scholes is a mathematical model used for pricing options.
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Proving lognormality of security in Black-Scholes market
Can someone prove that for some security $S_t$ with drift $\mu$ and volatility $\sigma^2$ in a Black-Scholes market we have that $Y_t = (S(t))^{1/3} \sim \text{Lognormal}$, w.r.t. the risk-neutral mea …
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