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1.A variable x starts at 10 and follows the generalized Wiener process
dx = a dt + b dz
where time is measured in years. If a = 2 and b =3 what is the expected value after 3 years?
A.12
B.14
C.16
D.18
dx = a dt + b dz
where time is measured in years. If a = 2 and b =3 what is the expected value after 3 years?
A.12
B.14
C.16
D.18
Answer: C
The drift is 2 per year and so the expected increase over three years is 2×3 = 6 and the expected value at the end of 3 years is 10+6 = 16.
The drift is 2 per year and so the expected increase over three years is 2×3 = 6 and the expected value at the end of 3 years is 10+6 = 16.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015