1. Consider two lto processes

Where Bx and By are Brownian motions with correlation coefficient process p.

(1) Show that if Z : Y/ X , then show

What are the drift and quadratic variation of Z?

(2) Show that if Z : X Y, then

What are the drift and quadratic variation of Z?

(3) Show that if Z : EX , then

What are the drift and quadratic variation of Z?

(4) Show that if Z : log X , then

What are the drift and quadratic variation of Z?

Last Updated on February 1, 2018 by Essay Pro