Use Cov[W s , W t ] = min(s, t) to derive the variance of B t

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Use Cov[W_s, W_t] = min(s, t) to derive the variance of B_t.

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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 12, 2018 12:06 PM

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Use Cov[W s , W t ] = min(s, t) to derive the variance of B t

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In computing the varian...View the full answer

A First Course in Quantitative Finance

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