hard · Quantitative Finance

If two standard Brownian motions W_1,t and W_2,t have a constant correlation ρ, what is the quadratic variation of the sum process X_t = W_1,t + W_2,t over [0, T]?

1. (1 + ρ^2)T
2. 2(1 + ρ)T
3. √(2(1 + ρ))T
4. 2T

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