ACT460H1 Final: Midterm+Solution
Document Summary
Instruction and some advices: there are 6 problems. To preserve accuracy, do not round until the last step or use at least 4 decimal places in your calculation process: keep your handwriting clean and readable. Cross out things that are not part of your nal solution. Do not spend too much time on one problem if you get stuck. Points: (10 points) for each of the following statements, indicate whether it is true or false, and brie y explain your answer. Page 1 of 11 (d) (2 points) an adapted process that is not a submartingale must be a supermartingale. (e) (2 points) let {wt}t 0 be a brownian motion. 0 < s < t, the random variable wt|ws and wt|ws have the same distribution. Page 2 of 11: (12 points) consider two european put options written on a stock s. the two options have.
