Show that Observe that the term 1/2 t shows that the stochastic integral does not yield the

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Show that

Observe that the term ˆ’1/2 t shows that the stochastic integral does not yield the same result as deterministic calculus and behaves differently.

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An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Question Posted: Apr 29, 2016 03:43 PM

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Show that Observe that the term 1/2 t shows that the stochastic integral does not yield the

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1. BzdBs

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If we let fB t B 2 t and use Itos formula ...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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