Zu dieser Karteikarte gibt es einen kompletten Satz an Karteikarten. Kostenlos!
225
5.The process followed by a variable X is
dX = mX dt+sX dz
What is the coefficient of dz in the process for the square of X.
A.sX
B.sX2
C.2sX2
D.msX
dX = mX dt+sX dz
What is the coefficient of dz in the process for the square of X.
A.sX
B.sX2
C.2sX2
D.msX
Answer: C
From Ito’s lemma, the coefficient of dz is where f = X2. Because , the coefficient of dz is 2sX2.
From Ito’s lemma, the coefficient of dz is where f = X2. Because , the coefficient of dz is 2sX2.

Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015