Prove the result in Section 28.5 that when and with the dzi uncorrelated, f/g is a martingale

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Prove the result in Section 28.5 that when

and

with the dzi uncorrelated, f/g is a martingale for

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:27 PM

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Prove the result in Section 28.5 that when and with the dzi uncorrelated, f/g is a martingale

Question:

df = r+,0;f dt +of dz, i-1 i=1 dg = r+4,0, g dt +ogg dz, g,i i=1 i=1

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so that Applying Itos le...View the full answer

Options Futures and Other Derivatives

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