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Intermediate Financial Theory, 3rd Edition by John B. Donaldson, Jean-Pierre Danthine

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Chapter 15

An Intuitive Overview of Continuous Time Finance

Chapter 15 extends the concept of asset pricing from discrete to continuous time.

Keywords

Closed-form pricing; random walks; Brownian motion; continuous time processes; Wiener process; sawtooth pattern; stochastic differential equation; Ito’s lemma; nowhere-differentiable; inblunded variation

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