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8 Time-Continuous Model

  • Thorsten Hens
  • Marc Oliver Rieger
Chapter
  • 431 Downloads
Part of the Springer Texts in Business and Economics book series (STBE)

Abstract

Let W be a Wiener process. Find the expressions for
$$\displaystyle d(W^{2}) \; \text{and } (dW)^{2}.$$

Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  • Thorsten Hens
    • 1
  • Marc Oliver Rieger
    • 2
  1. 1.Department of Banking and FinanceUniversity of ZurichZürichSwitzerland
  2. 2.Department of Business AdministrationUniversity of TrierTrierGermany

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