Let Xt be a geometric Wiener process, XteYt where Yt frac14 N( Icirc frac14 t, Iuml 2t) Consider the definition And the trivial equality Using these, calculate the expectation E Xt Xs,s SP...

We know X t e Yt where Y t is distributed normally with mean t and variance 2 ...

Let Xt be a geometric Wiener process, XteYt where Yt ¼ N(Î¼t, Ï2t) Consider the definition And

Question:

Let Xt be a geometric Wiener process,
XteYt
where
Yt ˆ¼ N(Î¼t, Ïƒ2t)
Consider the definition

And the trivial equality

Using these, calculate the expectation:
E[Xt|Xs,s

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An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Question Posted: Apr 29, 2016 03:44 PM

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Let Xt be a geometric Wiener process, XteYt where Yt ¼ N(Î¼t, Ï2t) Consider the definition And

Question:

SP

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We know X t e Yt where Y t is distributed normally with mean t and variance 2 ...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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