Using From Relation (10.11) in Proposition 10.3 and the Jacobian change of variable formula, assuming $S_{0}>0$, compute
Question:
Using From Relation (10.11) in Proposition 10.3 and the Jacobian change of variable formula, assuming $S_{0}>0$, compute the joint probability density function of geometric Brownian motion $S_{T}:=S_{0} \mathrm{e}^{\sigma W_{T}+\left(r-\sigma^{2} / 2ight) T}$ and its maximum
$$
M_{0}^{T}:=\operatorname{Max}_{t \in[0, T]} S_{t}=S_{0} \operatorname{Max}_{t \in[0, T]} \mathrm{e}^{\sigma W_{t}+\left(r-\sigma^{2} / 2ight) t}
$$
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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