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Results tagged with stochastic-calculus
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user 20659
A branch of mathematics that operates on stochastic processes.
2
votes
0
answers
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Prove the given stochastic integral are equally distributed
Let $W^i_t$ and $W_t$ be pairwise independent Brownian motions for $i \in \{1, \dots , d\}$.
Let $X_t^i$ be $d$ independent Ornstein–Uhlenbeck processes for $i \in \{1, \dots , d\}$, i.e. each $X_t^i …
- 437
5
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What is the easiest way to learn Option pricing with PDE?
In a practical manner, here is how you get to the PDE of your option:
Use Girsanov theorem to go from the real-world measure to the risk-neutral measure (basically subtract the market price of risk …
- 437