Variables X, and X2 follow generalized Wiener processes with drift rates fix and ix2 and variances a

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Variables X, and X2 follow generalized Wiener processes with drift rates fix and ix2 and variances a\ and of. What process does Xx + X2 follow if:

a. The changes in X{ and X2 in any short interval of time are uncorrelated?

b. There is a correlation p between the changes in X] and X2 in any short interval of time?

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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 07:02 AM

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Variables X, and X2 follow generalized Wiener processes with drift rates fix and ix2 and variances a

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Options Futures And Other Derivatives

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