Exercise on Ito's rule for two correlated stocks.

Hi,


  • Mathe Mathe
    +1

    I believe a question in advanced math material warrants a much higher bounty.

    • What are they typically worth?

    • Mathe Mathe
      0

      I believe for a problem on stochastic calculus and going over your solution, a bounty of $25 is warranted.

  • Thank you for making me aware :)

    • Mathe Mathe
      0

      I think you set it to $20 and not $25. Perhaps that was on purpose.

  • That's the amount of credit I had left. Will see if it is enough.

    • Mathe Mathe
      0

      Would it be enough to just point out the mistakes you have? Or do you want the correct derivation as well? Because I've seen two mistakes already.

  • The derivation doesn't have to be detailed, but would like a rough sketch and answers.

  • Mathe Mathe
    0

    I've finished writing a response explaining the correct idea and listing the mistakes you made. I would submit it immediately for $25.

    • Thank you for your suggestions. It was my understanding that for Brownian motion, mu = 0 and sigma = 1. Thus, the terms I did not include are not needed. However, I still end up with the incorrect values - I might just be an idiot at calculating this, but could you provide the values of the parameters?

    • Mathe Mathe
      +1

      I will edit my reponse to address your comment. But bare in mind that S_i are not Brownian motions. W_i are brownian motions.

  • Increased it to 25 :) Looking forward to it

  • Thank you so much Mathe. Your explanation really helped me understand it. Have you received the money?

    • Mathe Mathe
      0

      I did! Thank you!

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