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ex_3 - Exercise 9.2 on page 398 in Shreve’s book Exercise...

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ORIE 569 Problem set 3 Feb 6, 2008 Homework must be turned in by Thursday, March 6 at 10 a.m. Solutions turned in at a later time will not be graded. Place homework in the 569 homework box on the bridge between Upson and Rhodes. Exercise 1. Exercise 9.1 on page 398 in Shreve’s book. Exercise 2:
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Unformatted text preview: Exercise 9.2 on page 398 in Shreve’s book. Exercise 3: Exercise 9.3 on page 400 in Shreve’s book. Note that there is a typo in part (iii): the Brownian motions f W i ( t ) should be f W ( N ) i ( t ) for i = 1 , 2. Exercise 4: Exercise 9.5 on page 401 in Shreve’s book. 1...
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