Show that the result of Proposition 9.4 can be recovered from Lemma 8.2 and Relation (9.18).

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Introduction To Stochastic Finance With Market Examples

ISBN: 9781032288277

2nd Edition

Authors: Nicolas Privault

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Show that the result of Proposition 9.4 can be recovered from Lemma 8.2 and Relation (9.18).

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We take t0 for simplicity We start by showing that for every lambda0 we have frac1lambda mathbbEleftexp leftlambda int0tau sigmat2 d tight1ightfrac2 mathrmer tauS0plambdaleftint0F0 Ptau K fracd KK2pla...View the full answer

Introduction To Stochastic Finance With Market Examples

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