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20. For what value of the correlation between two Wiener processes is the sum of the processes also a Wiener process?

A.0.5

B.−0.5

C.0

D.1

A.0.5

B.−0.5

C.0

D.1

Answer: B

The variance of each process is 1 per unit time. The variance of the sum is 1+1+2where is the correlation. This is 1 when =−0.5.

The variance of each process is 1 per unit time. The variance of the sum is 1+1+2where is the correlation. This is 1 when =−0.5.

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015