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6.The process followed by a variable X is
dX = mX dt+sX dz
What is the coefficient of dt in the process for the square of X.
A.2mX2+s2X2
B.2mX2
C.mX2+2s2X2
D.mX2+s2X2
dX = mX dt+sX dz
What is the coefficient of dt in the process for the square of X.
A.2mX2+s2X2
B.2mX2
C.mX2+2s2X2
D.mX2+s2X2
Answer: A
From Ito’s lemma, the coefficient of dt is
where f = X2. Because and the coefficient of dt is 2mX2+s2X2
From Ito’s lemma, the coefficient of dt is
where f = X2. Because and the coefficient of dt is 2mX2+s2X2
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015