Show that given t0, t1, . . . , tn1, tn and Wt0 ,Wt1 , . .

Question:

Show that given
t0, t1, . . . , tnˆ’1, tn
and
Wt0 ,Wt1 , . . . ,Wtnˆ’1 ,Wtn
we can always write:

Συν--M]-ΣΕ (%-w,)] Σ14-+ ] j=1 j=1 (9.136) j=1

How is this different from the standard formula for the differentiation of products:
d(uv) = (du)v + u(dv)

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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 given t0, t1, . . . , tn1, tn and Wt0 ,Wt1 , . .

Question:

Συν--M]-ΣΕ (%-w,)] Σ14-+ ] j=1 j=1 (9.136) j=1

Step by Step Answer:

Integration by parts and show that The sum on the left hand side is a telescoping sum which ...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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