Consider the stochastic process, Xt which satisfies where γs is stochastic and Bs is a standard Brownian
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where γs is stochastic and Bs is a standard Brownian motion. Find an expression for Cov(Xs, Xt) for s
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(9.139)
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Related Book For
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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