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3.A variable x starts at 10 and follows the generalized Wiener process
dx = a dt + b dz
If a = 3 and b =4 what is the standard deviation of the value in three months?
A.1
B.2
C.3
D.4
dx = a dt + b dz
If a = 3 and b =4 what is the standard deviation of the value in three months?
A.1
B.2
C.3
D.4
Answer: B
The variance per year is 42 or 16. The variance over three months is 16×0.25 = 4. The standard deviation is .
The variance per year is 42 or 16. The variance over three months is 16×0.25 = 4. The standard deviation is .
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015