Exercises 2.4 Exponential martingale Let us de ne Mt = exp(Wt ???? t 2 ) with Wt
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Exercises 2.4 Exponential martingale Let us dene Mt = exp(Wt ???? t 2 ) with Wt a Brownian motion. Prove that Mt is a martingale using the denition 2.9. Then prove that Mt is a (local)
martingale using It^o's lemma.
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Related Book For
Analysis Geometry And Modeling In Finance
ISBN: 9781420086997
1st Edition
Authors: Pierre Henry-Labordere
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