# Hull_OFOD9e_MultipleChoice_Questions_and_Answers_Ch14.doc | Variance | Standard Deviation

View again

All materials on our website are shared by users. If you have any questions about copyright issues, please report us to resolve them. We are always happy to assist you.
Information Report
Category:

## Documents

Published:

Views: 251 | Pages: 6

Share
Related documents
Description
Hull: Options, Futures, and Other Derivatives, Ninth Edition Chapter 14: Wiener Processes and Ito’s Lemma Multiple Choice Test Bank: Questions with Answers 1. A variable x starts at 10 and follows the generalized Wiener process dx = a dt + b dz where time is measured in years. If a = 2 and b =3 what is the expected value after 3 years? A. 12 B. 14 C. 16 D. 18 Answer: C The drift is 2 per year and so the expected increase over three years is 2×3 = 6 and the expected value at the end of 3 years is
Tags

Transcript
Recommended

6 pages

6 pages

6 pages

6 pages

6 pages

6 pages

7 pages

6 pages

6 pages

7 pages

9 pages

6 pages

7 pages

7 pages

7 pages

View more...