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18.Which of the following is NOT a property of a Wiener process?

A.The change during a short period of time dt has a variance dt

B.The changes in two different short periods of time are independent

C.The mean change in any time period is zero

D.The standard deviation over two consecutive time periods is the sum of the standard deviations over each of the periods

A.The change during a short period of time dt has a variance dt

B.The changes in two different short periods of time are independent

C.The mean change in any time period is zero

D.The standard deviation over two consecutive time periods is the sum of the standard deviations over each of the periods

Answer D

Variances of Wiener processes are additive but standard deviations are not.

Variances of Wiener processes are additive but standard deviations are not.

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015