(Adapted from Bjrk (2009)) Define the process y = (yt) by yt = z4 t , where...

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(Adapted from Björk (2009)) Define the process y = (yt) by yt = z4 t , where z = (zt) is a standard Brownian motion. Find the dynamics of y. Show that yt = 6 t

0 z2 s ds + 4 t

0 z3 s dzs.

Show that E[yt] ≡ E[z4 t ] = 3t 2.

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Financial Asset Pricing Theory

ISBN: 9780198716457

1st Edition

Authors: Claus MUNK

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Question Posted: Jul 20, 2024 09:00 AM

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(Adapted from Bjrk (2009)) Define the process y = (yt) by yt = z4 t , where...

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Financial Asset Pricing Theory

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