Check that the distribution of (A_{Theta}^{(u)}) is that of (B /(2 Gamma)) where (B) has a (operatorname{Beta}(1,
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Check that the distribution of \(A_{\Theta}^{(u)}\) is that of \(B /(2 \Gamma)\) where \(B\) has a \(\operatorname{Beta}(1, \alpha)\) law and \(\Gamma\) a \(\operatorname{Gamma}(\beta, 1)\) law with
\[\alpha=\frac{u+\gamma}{2}, \beta=\frac{\gamma-u}{2}, \gamma=\sqrt{2 \lambda+u^{2}}\]
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Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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