Show that Cov dL 1 , dL 3 1 L 1 3 L 3 12 23 dt ...

Recall that for independent Brownian ...

Show that Cov[dL 1 , dL 3 ] = 1 L 1 3 L 3

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Show that Cov[dL₁, dL₃] = σ₁L₁σ₃L₃ρ₁₂ρ₂₃dt.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 17, 2018 04:21 AM

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Show that Cov[dL 1 , dL 3 ] = 1 L 1 3 L 3

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A First Course in Quantitative Finance

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