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5 Let We, tzo a Standard Wiener Process. Show that the covariance of So Wudu and Se Wudy, with sit 20 is cov(5 Wadu,
5 Let We, tzo a Standard Wiener Process. Show that the covariance of So Wudu and Se Wudy, with sit 20 is cov(5 Wadu, o Wudu) - & min { sit] + t-s\ min { s, t] with correlation coefficient min [S, 7 max [Sit'] +2 It-sl min [5 t max [5, +7
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An Introduction to the Mathematics of Financial Derivatives
Authors: Ali Hirsa, Salih N. Neftci
3rd edition
012384682X, 978-0123846822
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