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19. If e is a random sample from a standard normal distribution, which of the following is the change in a Wiener process in time dt .

A.e times the square root of dt

B.e times dt

C.dt times the square root of e

D.The square root of e times the square root of dt

A.e times the square root of dt

B.e times dt

C.dt times the square root of e

D.The square root of e times the square root of dt

Answer: A

The change is . This result is used when the process is simulated.

The change is . This result is used when the process is simulated.

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015