Solution-Ow would you change the definition of xt to make zt

Ow would you change the definition of xt to make zt

Reference no: EM131105020

Consider
Where Xt is an exponential Wiener process:
(a) Calculate the expected value of the increment dZ(t).
(b) Is Zt a martingale?
(c) Calculate E[Zt]. How would you change the definition of Xt to make Zt a martingale?
(d) How would E[Zt] then change?
Z(t) = e-rtXt,
Xt = cWt.

Reference no: EM131105020

Questions Cloud

Determine how often to make a production run : Suppose that the demand for a product is 30 units per month and the items are withdrawn at a constant rate. The setup cost each time a production run is undertaken to replenish inventory is $15. The production cost is $1 per item, and the inventor..

What is the capital intensity ratio : A company has an equity multiplier of 1.24, profit margin of 6.7% and ROE of 15.2%. What is the capital intensity ratio?

Using the seasonally adjusted call volume : Mark Lawrence-the man with two first names-has been pursuing a vision for more than two years. This pursuit began when he became frustrated in his role as director of human resources at Cutting Edge, a large company manufacturing computers and com..

Design the input and output matching circuits : Design the input and output matching circuits using the given large-signal reflection coefficients. Compute the required input power level.

Ow would you change the definition of xt to make zt : Where Xt is an exponential Wiener process:(a) Calculate the expected value of the increment dZ(t). (b) Is Zt a martingale? (c) Calculate E[Zt]. How would you change the definition of Xt to make Zt a martingale?

Well-diversified market portfolio : Mr. Jabali the managing director of the company is wondering whether to invest in a project which cost Sh.20 million and yield Sh.3.8 million a year before tax in perpetuity. The project has an estimated beta value of 1.25. The return from a wel..

Between the distance travele and the time elapsed : If a particle is dropped at time t = 0, physical theory indicates that the relationship between the distance traveled r and the time elapsed t is r = gtk for some positive constants g and k. A transformation to linearity can be obtained by taking l..

The trigonometric functions : The trigonometric functions y = sin x and y = cos x have amplitude and period . Sketch a graph of each function on the interval [0, 2!].

Independent normal random variables with mean : The following data are observations yi on a dependent random variable Y taken at various levels of an independent variable x. [It is assumed that E(Yi|xi) = A + Bxi, and the Yi are independent normal random variables with mean 0 and variance σ2.]

User Account

All Pages

Ow would you change the definition of xt to make zt

Reference no: EM131105020

Reference no: EM131105020

Questions Cloud

Reviews

Write a Review

Finance Basics Questions & Answers

Calculate the property tax rate as a millage rate rounded

What issues do you think the vp of human resources might

What is meant by the term underlying

Company x has retention rate of 50 sales 25000 beginning

Find the npv if pretax cost savings are 195600 per year at

How many shares must shim issue in the acquisition

Determine bc ratio for a project that has a twenty year life

What will be the effect of the price increase on the firms

Calculate the dollar cost of using a money market hedge

Emc corporation has never paid a dividend its current free

Regulating depository financial institutions

Determine interest expense

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT