The exercises in this section prepare the reader for the next three chapters instead of dealing with
Question:
The exercises in this section prepare the reader for the next three chapters instead of dealing with the PDEs. An interested reader will find several useful problems in Betounes (1998).
Let Xt be a geometric Wiener process,
Xt = eY,
Where
Yt ? N(?t, ?2t).
(a) Consider the definition
And the trivaial equality
Using these, calculate the expectation:
Transcribed Image Text:
E[X,JX, s < ]= E[eY,s < 1). Y-Y,.s < t). E[e" |Y, s < 1]- E[-Y,H Y,s < 1]. E[X, X,, s < 1].
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An Introduction to the Mathematics of financial Derivatives
ISBN: 978-0123846822
2nd Edition
Authors: Salih N. Neftci
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