Skip to content
Search…
Search
Quick links
Unanswered topics
Active topics
Search
Serving the Quantitative Finance Community
Search…
Search
Home
Magazine
News
Inner Circle
Free Articles
CQF/i
Blogs
Forums
Jobs Board
Home
Magazine
News
Inner Circle
Free Articles
CQF/i
Blogs
Forums
Jobs Board
Forum Index
Search
Search
Quick links
Unanswered topics
Active topics
Search
Register
Login
Remember me
Search found 2 matches
by
lingo
March 5th, 2005, 8:52 am
Forum:
Student Forum
Topic:
ITO -The other way round
Replies:
3
Views:
157721
ITO -The other way round
You are right, my solution is wrong. I was not able to get to the original SDE using ITO.Who can help me out?
Jump to post
by
lingo
March 3rd, 2005, 5:51 pm
Forum:
Student Forum
Topic:
ITO -The other way round
Replies:
3
Views:
157721
ITO -The other way round
Hello ,I have to express this SDE in terms of S:dSt=mu*dt+s*StdWtmu and s are constants, Wt~N(0,1). dSt some stockpriceprocess.I guess the solution is St=mu*t+exp(-s^2*t*1/2+sWt).Is this correct?Thank You
Jump to post
Sort by
All results
1 day
7 days
2 weeks
1 month
3 months
6 months
1 year
Author
Post time
Forum
Topic title
Post subject
Ascending
Descending
Go to advanced search
×