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Unformatted text preview: X t = X exp(0 . 045 t + 0 . 5 B t ) , where X t denotes the value of the index t years after inception. (a) You are given that X 9 = 8000. Find the probability that X 10 exceeds 10000. 1 (b) What is the variance of the index at time 10 given X 9 = 8000. 5. Ross: Chapter 10, Q19. Show that { Y ( t ) ,t ≥ } is a Martingale when Y ( t ) = exp { cB ( t )c 2 t/ 2 } , where c is an arbitrary constant. What is E [ Y ( t )]? 2...
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This note was uploaded on 06/12/2011 for the course ASB 2003 taught by Professor Kim during the Three '11 term at University of New South Wales.
 Three '11
 kim

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