Option Pricing in Continuous Time Makes Use of Wiener Processes $W _ { t }$

question 6

Multiple Choice

Option pricing in continuous time makes use of Wiener processes.Which of the following is not a property of a Wiener process $W _ { t }$ ,given $W _ { 0 } = 0$ ?

• A)The process has independent increments \(W _ { t } - W _ { s }\)
• ,for
• \(t > s\)
• )
• B)Increments are normally distributed.
• C)For each \(\pm\)
• ,
• \(W _ { t }\)
• Is normally distributed with mean zero and variance
• \(t ^ { 2 }\)
• )
• D)The process \(\left( W _ { t } \right)\)
• Is a symmetric random walk around zero.

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Percent Change

A mathematical calculation that shows how much something has increased or decreased in value or quantity over time, expressed as a percentage.

Base Year

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