CoboCards App FAQ & Wishes Feedback
Language: English Language
Sign up for free  Login

This flashcard is just one of a free flashcard set. See all flashcards!

All main topics / Finance & Investment / Derivatives / Derivatives
15.Which of the following defines an Ito process?
A.A process where the drift is non-constant and can be stochastic
B.A process where the coefficient of dz is non-constant and can be stochastic
C.A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic
D.A process  where proportional changes follow a generalized Wiener process
Answer: C

In a generalized Wiener process the drift and coefficient of dz are both constant.  In an Ito process they are not both constant .

New comment
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015




Forgot password?
Deutsch  English