Quadratic variation of a scaled Itô integral
Let , a stochastic integral against standard Brownian motion with a time-varying integrand. What is the quadratic variation of over ? (to 3 decimals)
Show hints (2)+
- For , the quadratic variation is .
- Square the integrand first, then integrate: .
Answer
Reveal answer →Final answer
9 (± 0.001)
Create a free account to see the full worked solution and track your progress.
Interview format: Hedge Fund Quant, Systematic & Data-Driven Trading