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Q1. Greek letters and Ito's lemma a) Define and explain Ito's lemma. What is it used for ? b) What are the assumptions of the
Q1. Greek letters and Ito's lemma
a) Define and explain Ito's lemma. What is it used for ?
b) What are the assumptions of the Black Scholes model? Is there any problem(s) with this model?
c) What is a Wiener process and generalized Brownian motion?
d) Do you comment on the servant price process in the Monte Carlo simulation from c)?
e) Define and explain the Greek letters. What are they for ?
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