Show that, when w = h/g and h and g are each dependent on n Wiener processes,

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Show that, when w = h/g and h and g are each dependent on n Wiener processes, the ith component of the volatility of w is the ith component of the volatility of h minus the ith component of the volatility of g.

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Show that, when w = h/g and h and g are each dependent on n Wiener processes,

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Options Futures And Other Derivatives

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