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19. If e is a random sample from a standard normal distribution, which of the following is the change in a Wiener process in time dt .
A.e times the square root of dt
B.e times dt
C.dt times the square root of e
D.The square root of e times the square root of dt
A.e times the square root of dt
B.e times dt
C.dt times the square root of e
D.The square root of e times the square root of dt
Answer: A
The change is . This result is used when the process is simulated.
The change is . This result is used when the process is simulated.
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015