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finantial math 4 (12 marks)We work in a probability filtered space (Fr.-W.)ostly where (W) a standard Bowman Wecome a finansal mety. price process (X)osts driven
finantial math 4 (12 marks)We work in a probability filtered space (Fr.-W.)ostly where (W) a standard Bowman Wecome a finansal mety. price process (X)osts driven by the following stochastic datterential equation dX, -0.07dt +0.8x.dw. X. - 30. a Find X using Ito formula b. Compute E[W.] E[(W) ) [eW) and E[X] Compute[1 Xp>401 0.00000535400000 2 000 30000 00517 DOST 020.67990 030.1179 0.1217 0.125 0.13 0.13 DA 0.1554 0.151 0.125 0.10 0.1700 mA 0.1015 0.16500.1015 2016 2015 2015 0.8 0.2057 0.74 0.2500 0.2811 0.2542 0.2673 0.270421 0.8 0.2981 0.2910 0.289 290 28590061 0.9 0.3159 0.3196 03212 323 324 300 000 1.0 0.3413 0.3438 034010340503506 013 6 1.1 0.3643 0.3685 0.3686 03790 0.375 0.276 375 02 1.2 0.3840 0.3000 0.3888 0.007 0.3025 0.314 0 1.3 0.4032 0.4040 0.4056 ADB2 0.4 0.4115 001 OD 14 0.4192 0.4207 0.4222 QAZ36 0.42510A205 DAT A LO L 1.5 0.4332 0.4345 0.4357 ASTO1382 A24 0.0 1.8 0.4452 0.4463 0.4474 0.1434 0495 DSC 0.451555 1.7 0.4554 0.4554 0.4573 0.4582 091 090 A 0.4 AS e 1.B 0.4641 0.4640 0.4658 0.4864 0.4571 04678 0 MM 1.9 0.4713 0.4719 0.4725 0.4732 0.4738 0744 475 476 Louw 2.0 0.4772 0.4778 04783 QA738 DATUS DATA 0.4 0 2.1 0.4821 0.4825 0.4830 0.4834 0.4838 0.4842 0.4045 040 A 2.2 0.4861 0.4884 0.4868 0.4871 0.4875 0.4878 0.400 0.400 2.3 0.4893 0.4895 0.4898 0.4901 0.4904 D4106 0.4 0 2.4 0.4918 0.4920 0.4922 0.4225 04927 0.4929 D A 2.5 0.4938 0.4940 0.4941 0.4943 0.4945 04946 0 0.0 2.6 0.4953 0.4955 0.4956 0.4057 0.4959 0.4056 0451 42 2.7 0.4965 0.4966 0.4967 0.4968 0.4989 0.4870 0.497 4972 2.8 0.4974 0.4975 0.4975 0.4977 0.4077 DARTS 04978 479 L 2.9 0.4981 0.4982 0.4982 0.4983 0.4984 04154 0.4085 0.4 0 M 3.0 0.4987 0.4987 0.4987 0.4988 0.4988 0.4 0.4 0.0 3.1 0.4990 0.4991 0.4991 0.4991 0.4912 0.42 0.492 0.42 0.4093 3.2 0.4993 0.4993 0.4994 0.4994 0.4994 0.4994 0.4004 0.05 3.3 0.4995 0.4995 0.4995 0.4996 0.4996 046 04906 0 0 0 3.4 0.4997 0.4997 0.4997 0.4397 0.4997 0.4997 0.4997 0.430704091 it to save and submit. Click Save All Answers to see alles 4 (12 marks)We work in a probability filtered space (Fr.-W.)ostly where (W) a standard Bowman Wecome a finansal mety. price process (X)osts driven by the following stochastic datterential equation dX, -0.07dt +0.8x.dw. X. - 30. a Find X using Ito formula b. Compute E[W.] E[(W) ) [eW) and E[X] Compute[1 Xp>401 0.00000535400000 2 000 30000 00517 DOST 020.67990 030.1179 0.1217 0.125 0.13 0.13 DA 0.1554 0.151 0.125 0.10 0.1700 mA 0.1015 0.16500.1015 2016 2015 2015 0.8 0.2057 0.74 0.2500 0.2811 0.2542 0.2673 0.270421 0.8 0.2981 0.2910 0.289 290 28590061 0.9 0.3159 0.3196 03212 323 324 300 000 1.0 0.3413 0.3438 034010340503506 013 6 1.1 0.3643 0.3685 0.3686 03790 0.375 0.276 375 02 1.2 0.3840 0.3000 0.3888 0.007 0.3025 0.314 0 1.3 0.4032 0.4040 0.4056 ADB2 0.4 0.4115 001 OD 14 0.4192 0.4207 0.4222 QAZ36 0.42510A205 DAT A LO L 1.5 0.4332 0.4345 0.4357 ASTO1382 A24 0.0 1.8 0.4452 0.4463 0.4474 0.1434 0495 DSC 0.451555 1.7 0.4554 0.4554 0.4573 0.4582 091 090 A 0.4 AS e 1.B 0.4641 0.4640 0.4658 0.4864 0.4571 04678 0 MM 1.9 0.4713 0.4719 0.4725 0.4732 0.4738 0744 475 476 Louw 2.0 0.4772 0.4778 04783 QA738 DATUS DATA 0.4 0 2.1 0.4821 0.4825 0.4830 0.4834 0.4838 0.4842 0.4045 040 A 2.2 0.4861 0.4884 0.4868 0.4871 0.4875 0.4878 0.400 0.400 2.3 0.4893 0.4895 0.4898 0.4901 0.4904 D4106 0.4 0 2.4 0.4918 0.4920 0.4922 0.4225 04927 0.4929 D A 2.5 0.4938 0.4940 0.4941 0.4943 0.4945 04946 0 0.0 2.6 0.4953 0.4955 0.4956 0.4057 0.4959 0.4056 0451 42 2.7 0.4965 0.4966 0.4967 0.4968 0.4989 0.4870 0.497 4972 2.8 0.4974 0.4975 0.4975 0.4977 0.4077 DARTS 04978 479 L 2.9 0.4981 0.4982 0.4982 0.4983 0.4984 04154 0.4085 0.4 0 M 3.0 0.4987 0.4987 0.4987 0.4988 0.4988 0.4 0.4 0.0 3.1 0.4990 0.4991 0.4991 0.4991 0.4912 0.42 0.492 0.42 0.4093 3.2 0.4993 0.4993 0.4994 0.4994 0.4994 0.4994 0.4004 0.05 3.3 0.4995 0.4995 0.4995 0.4996 0.4996 046 04906 0 0 0 3.4 0.4997 0.4997 0.4997 0.4397 0.4997 0.4997 0.4997 0.430704091 it to save and submit. Click Save All Answers to see alles
finantial math
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