easy · Quantitative Finance
Standard Brownian motion W_t is characterized by having increments that are independent.
What does this property imply for non-overlapping time intervals [s, t] and [u, v]?
- W_t and W_s must always be independent
- The variance of the process is constant over time
- The process cannot return to a previous value
- W_t - W_s and W_v - W_u are independent random variables
Sign up free to see the explanation and track your rank →
More Quantitative Finance practice
- If the underlying stock price S moves by +$2.00 over a very short interval, what is the es
- What is the estimated OLS slope hatβ?
- If the flat yield curve is at 4% (continuously compounded), what is the bond's price?
- As the number of assets n approaches infinity, what happens to the total portfolio varianc
- What is the fair no-arbitrage price for a six-month (T = 0.5) forward contract?
- If the risk-neutral probability of an up move is p = 0.6 and the risk-free rate is zero, w
- When pricing a 'Digital' (or Binary) call option near expiry with the spot price very clos
- Calculate the price of a zero-coupon bond that pays $1000 in two years, given that the one