Derivative Securities

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?

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Last Updated on February 1, 2018 by Essay Pro