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20. For what value of the correlation between two Wiener processes is the sum of the processes also a Wiener process?
A.0.5
B.−0.5
C.0
D.1
A.0.5
B.−0.5
C.0
D.1
Answer: B
The variance of each process is 1 per unit time. The variance of the sum is 1+1+2where is the correlation. This is 1 when =−0.5.
The variance of each process is 1 per unit time. The variance of the sum is 1+1+2where is the correlation. This is 1 when =−0.5.
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015