Variables X 1 and X 2 follow generalized Wiener processes with drift rates 1 and 2 and variances 1 2 and 1 2 What process does X 1 X 2 follow if (a) The changes in and in any short interval of time are uncorrelated (b) There is a correlation between the changes in and in any short interval of time ...

a Suppose that X 1 and X 2 equal a 1 and a 2 initially After a time p ...

Variables X 1 and X 2 follow generalized Wiener processes with drift rates 1 and

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Variables X₁ and X₂ follow generalized Wiener processes with drift rates μ₁ and μ₂ and variances σ₁² and σ₁². What process does X₁ + X₂ follow if:

(a) The changes in and in any short interval of time are uncorrelated?

(b) There is a correlation between the changes in and in any short interval of time?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 11:14 AM

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Variables X 1 and X 2 follow generalized Wiener processes with drift rates 1 and

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