= 1 (b) x - 1. (16%) Determine Var(X), Var(Y), Cov(X,Y) and Corr(X,Y) if, for some h > 0, (a) X = (W7th – W+)?, Y = W, f

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1 B X 1 16 Determine Var X Var Y Cov X Y And Corr X Y If For Some H 0 A X W7th W Y W F 1 (67.18 KiB) Viewed 21 times

= 1 (b) x - 1. (16%) Determine Var(X), Var(Y), Cov(X,Y) and Corr(X,Y) if, for some h > 0, (a) X = (W7th – W+)?, Y = W, for some t > 0; With, Y = W2, for some t > 0; (c) X = S. VtdW+, Y = S6 +3/2dWt; (d) X = S“ VtdW+, Y = S.“ 43/2d24. In all questions, {W+}t>o and {27}t>o are independent Wiener processes. Hint: for (c), (d), consider the proof of Ito's isometry in Lecture 3. = = t