Let Wt be a Wiener process defined over [0, T] and consider the integral: Use the subdivision
Question:
Let Wt be a Wiener process defined over [0, T] and consider the integral:
Use the subdivision of [0, t]
t0, t1,?, tn?1, tn
in the following:
(a) Write the approximation of the above integral as three different Riemann sums.
(b) Write the integral in discrete time using an Ito sum.
(c) Calculate the expectation of the three Riemann sums.
(d) Calculate the expectation of the Ito sum.
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Related Book For
An Introduction to the Mathematics of financial Derivatives
ISBN: 978-0123846822
2nd Edition
Authors: Salih N. Neftci
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