Let the stochastic process X(t),t 0, be defined by where Z(t) is the standard Brownian process.

Question:

Let the stochastic process X(t),t ≥ 0, be defined by

= [ eu(1-4), S 10 X (t) = ea(t-u) dz(u),

where Z(t) is the standard Brownian process. Show that

cov (X (s), X(t)) = ea (s+1) - eals-t| 2 S 0, t 0.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:16 AM

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Let the stochastic process X(t),t 0, be defined by where Z(t) is the standard Brownian process.

Question:

= [₁ eu(1-4), S 10 X(t) = ea(t-u) dz(u),

Step by Step Answer:

To find the covariance between X s and X t we need to compute covXs Xt ...View the full answer

Mathematical Models Of Financial Derivative

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