I am currently revising for my exam and I cannot really deal with the following problem (I am a beginner in terms of stochastic processes): $W_t$ is the standard Brownian motion. Consider a stock ...
I am currently revising for my exam in Financial Mathematics, and I could not solve this question: For $T > 1$, consider a $T$-period model with a single risky asset and a bank account which pays ...
Consider $dX_t = \pi_t X_t dt + \pi_t X_t dW_t, X_0 = x$, where $W_t$ is a standard brownian motion, and $\pi$ is some real valued process. Let T>0. How can we calculate $P[X_T\geq 2x]$, where ...
This is something that keeps bothering me about the Benchmark approach of Platen, which (very) shortly is as follows: Compare the development of an economic value with a growth optimal portfolio. ...