Exercise 13 3 7 Let Y(t) eX(t), where X(t), t 0 is a (, ) Brownian motion Show that E Y(t) Y(s) Y(s) e(ts)( 2 2) for s t ...

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Exercise 13.3.7 Let Y(t) eX(t), where { X(t), t 0 } is a (, )

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Exercise 13.3.7 Let Y(t) ≡ eX(t), where { X(t), t ≥ 0 } is a (μ, σ) Brownian motion.

Show that E[Y(t) |Y(s) ] = Y(s) e(t−s)(μ+σ2/2) for s < t.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 13.3.7 Let Y(t) eX(t), where { X(t), t 0 } is a (, )

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Financial Engineering And Computation Principles Mathematics Algorithms

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