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What is Understanding Measure of VXZ about?
This document discusses solutions to problems from a measure theory and stochastic processes session. Specifically: 1) It lists the sets in the σ-algebras generated by the random variable X and the stock price S1. 2) It shows that X and S1 are independent under the probability measure P̃, but not independent under P. 3) It explains intuitively that learning the value of X provides information about revising the distribution of S1 under P, since they are not independent.
- Author
- gab
- Language
- EN