Differentiate the following functions with respect to the Wiener process Wt, and if applicable, with respect tot.

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An Introduction to the Mathematics of financial Derivatives

ISBN: 978-0123846822

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Authors: Salih N. Neftci

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Question Posted: Aug 17, 2011 10:41 AM

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Differentiate the following functions with respect to the Wiener process Wt, and if applicable, with respect tot.

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(a) f(W) = W? w, f(W) = (b) f(W,) = elW?) (c) f(W,, t) = ela ,-u'e) f(W,, t) = e, (d) g = W, ds

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An Introduction to the Mathematics of financial Derivatives

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