Zu dieser Karteikarte gibt es einen kompletten Satz an Karteikarten. Kostenlos!
234
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
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 .
In a generalized Wiener process the drift and coefficient of dz are both constant. In an Ito process they are not both constant .
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015