You are given the representation: Where the equality holds given the sequence of information sets {I t
Question:
You are given the representation:
Where the equality holds given the sequence of information sets {It. The underlying process Xt is known to follow the SDE:
dXt = ?dt + ?dWt
Determine the g(-) in the above representation for the case where M(-) is given by:
(a) MT(XT) = WT
(b) MT(XT) = W2T
(c) MT(XT) = EWT
Transcribed Image Text:
M,(X;) = M,(X.) + g(t, X,)dW,
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Given the representation With dX t dt dW t The right hand side is always a martingale as gt ...View the full answer
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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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