A Useful Result on the Covariance Between Ito Integrals
Tristan Guillaume · Journal of Advances in Mathematics and Computer Science · 2017
This article introduces a general result on the covariance between two Ito integrals driven by two different Brownian motions, which slightly generalizes the isometry property. This result finds applications in mathematical finance, e.g. it enables to determine the probability di...
Open access
Research Article
10.9734/JAMCS/2017/38464