<t>Investors in index options may have different motivations than investors in single-stock options. While the purchase of an index put option may primarily serve as a portfolio insurance, the purchase of a single stock option may be primarily due to a speculative motivation. This would be the suppl...

<t>Hi,I’ve been coming across the phrase „due to the martingale property of the Ito-integral…“ in a couple of papers lately. What the authors seem to mean by this, is thatno matter what form f(x_s ) takes. Is this a fact? Does this mean that if I take expectations of a process of the formby means of...

Hi Alan,Now that you say so, I see that it makes sense. Thanks again. Peter

<t>Hi Alan,I tried solving it by the method you recommended, and finding an expression for c(x) seems to be no problem (some of the ugliness cancels, some falls apart). The rest I can solve numerically, if need be.I just have one follow-up question: since c(x) is an indefinite integral, what do I as...

Hi Alan,That seems straight-forward enough. I'll try that.Thanks a lot for your help!Peter

<t>Hello Alan,Thanks for suggesting the book. To be honest, I already know it, but it's just so much symboleze to me, as I'm a finance- rather than a math-student. Unless I can see how to seperate the variables, I solve differential equations by giving them to maple to chew on. Unfortunately, maple ...

<t>Hello,To restate my question without all the useless info, using a legible equation, now that I've caught on to that possibility:Is the long-run mean of this process simply the value of rho that causes the drift term to equal zero? Or is the diffusion term relevant in any way?Thanks for any help....