Derivative Securities – Fall 2007– Section 7 Notes
نویسنده
چکیده
which is a Riemann sum for ∫ b a g 2(s) ds. By the way: since we are assuming that g is deterministic, ∫ b a g(s)dw(s) is a Gaussian random variable. (Proof: recall that a sum of Gaussians is Gaussian; therefore ∑ i g(si)[w(si+1) − w(si)] is Gaussian. Now use the fact that a limit of Gaussians is Gaussian.) Since we know its mean and variance, we have completely characterized this random variable.
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